Nonconvex noncash risk measures

Chang Cong and Peibiao Zhao

Journal of Risk Model Validation

Abstract: In 2018, Cong and Zhao introduced noncash risk measures with 1-norm for weak cone-type acceptable sets. In the present paper, we take a further look at nonconvex, noncash risk measures with p-norm (1 ≤ p ≤ ∞) for nonweak cone-type acceptable sets. A convex extension of the nonconvex, noncash risk measures is given and a representation theorem of a convex extension of the nonconvex, noncash risk measures is achieved.

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