𝔖 Bobbio Scriptorium
✦   LIBER   ✦

Dilatation monotone risk measures are law invariant

✍ Scribed by Alexander S. Cherny; Pavel G. Grigoriev

Book ID
106235696
Publisher
Springer-Verlag
Year
2007
Tongue
English
Weight
173 KB
Volume
11
Category
Article
ISSN
0949-2984

No coin nor oath required. For personal study only.

πŸ“œ SIMILAR VOLUMES

Law invariant risk measures on L ∞ (ℝ d
Law invariant risk measures on L ∞ (ℝ d )
✍ Ekeland, Ivar; Schachermayer, Walter πŸ“‚ Article πŸ“… 2011 πŸ› Oldenbourg Wissenschaftsverlag 🌐 English βš– 330 KB

## Abstract Kusuoka (2001) has obtained explicit representation theorems for comonotone risk measures and, more generally, for law invariant risk measures. These theorems pertain, like most of the previous literature, to the case of scalar-valued risks. Jouini, Meddeb, and Touzi (2004) and Burgert

On a class of law invariant convex risk
On a class of law invariant convex risk measures
✍ Gilles Angelsberg; Freddy Delbaen; Ivo Kaelin; Michael Kupper; Joachim NΓ€f πŸ“‚ Article πŸ“… 2010 πŸ› Springer-Verlag 🌐 English βš– 757 KB