Law-invariant risk measures: Extension properties and qualitative robustness

Koch-Medina Pablo () and Munari Cosimo ()
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Koch-Medina Pablo: Department of Banking and Finance, University of Zurich, Plattenstrasse 14, 8032 Zurich, Switzerland
Munari Cosimo: Department of Mathematics, ETH Zurich, Rämistrasse 101, 8092 Zurich, Switzerland

Statistics & Risk Modeling, 2014, vol. 31, issue 3-4, 215-236

Abstract: We characterize when a convex risk measure associated to a law-invariant acceptance set in L∞ can be extended to Lp, 1≤p

Keywords: Extension of risk measures; acceptance sets; law invariance; statistical robustness; index of finiteness; index of qualitative robustness; expected utility; max-correlation risk measures; distortion risk measures (search for similar items in EconPapers)
Date: 2014
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Persistent link: https://EconPapers.repec.org/RePEc:bpj:strimo:v:31:y:2014:i:3-4:p:22:n:4

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DOI: 10.1515/strm-2014-0002

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