SET-VALUED LAW INVARIANT COHERENT AND CONVEX RISK MEASURES

Yanhong Chen and Yijun Hu ()
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Yanhong Chen: College of Finance and Statistics, Hunan University, Changsha 410082, P. R. China
Yijun Hu: #x2020;School of Mathematics and Statistics, Wuhan University, Wuhan 430072, P. R. China

International Journal of Theoretical and Applied Finance (IJTAF), 2019, vol. 22, issue 03, 1-18

Abstract: In this paper, we investigate representation results for set-valued law invariant coherent and convex risk measures, which can be considered as a set-valued extension of the multivariate scalar law invariant coherent and convex risk measures studied in the literature. We further introduce a new class of set-valued risk measures, named set-valued distortion risk measures, which can be considered as a set-valued version of multivariate scalar distortion risk measures introduced in the literature. The relationship between set-valued distortion risk measures and set-valued weighted value at risk is also given.

Keywords: Set-valued risk measures; law invariant; distortion risk measures; set-valued weighted value at risk; coherency; convexity (search for similar items in EconPapers)
Date: 2019
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DOI: 10.1142/S0219024919500043

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