Sep 2, 2008 · In this paper we investigate in detail continuity and representation properties of convex risk measures on L p spaces.
In this paper we investigate in de- tail continuity and representation properties of convex risk measures on Lp spaces. This frame for risks is natural from the ...
In this paper we investigate in detail continuity and representation properties of convex risk measures on L p spaces. This frame for risks is natural from the ...
Much of the recent literature on risk measures is concerned with essentially bounded risks in L ∞ . In this paper we investigate in detail continuity and ...
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ABSTRACT: By this paper, we give an answer to the problem of definition of coherent risk measures on rearrangement invariant, solid subspaces of L0 with respect ...
This characterization, together with an invariance property will allow us to characterize conditional convex risk measures defined in a space L∞(F, R) which can ...
Therefore, it seems practical to extend this concept to convex risk measure defined on broader spaces. Certain spaces like Lp spaces with 1 < p < +∞ or Orlicz ...
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We discuss the numerical representation of conditional convex risk measures which are defined in a space Lp(ℱ, R), for p ≥ 1, and take values in L1(𝒢, R) (in ...
Here it is proved that if our model space is Lp and if the convex risk measures ρi are in addition law-invariant, then there always exists an optimal allocation.
We provide a representation theorem for convex risk measures defined on Lp(Ω, ,P) spaces, 1 p. +, and we discuss the financial meaning of the convexity axiom.