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On Kusuoka Representation of Law Invariant Risk Measures

โœ Scribed by Shapiro, Alexander

Book ID
118187652
Publisher
INFORMS
Year
2013
Tongue
English
Weight
241 KB
Volume
38
Category
Article
ISSN
0364-765X

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## 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

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