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Law-invariant risk measures: Extension properties and qualitative robustness

Author

Listed:
  • Koch-Medina Pablo

    (Department of Banking and Finance, University of Zurich, Plattenstrasse 14, 8032 Zurich, Switzerland)

  • Munari Cosimo

    (Department of Mathematics, ETH Zurich, Rämistrasse 101, 8092 Zurich, Switzerland)

Abstract

We characterize when a convex risk measure associated to a law-invariant acceptance set in L∞ can be extended to Lp, 1≤p

Suggested Citation

  • Koch-Medina Pablo & Munari Cosimo, 2014. "Law-invariant risk measures: Extension properties and qualitative robustness," Statistics & Risk Modeling, De Gruyter, vol. 31(3-4), pages 1-22, December.
    • Handle: RePEc:bpj:strimo:v:31:y:2014:i:3-4:p:22:n:4
    DOI: 10.1515/strm-2014-0002
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    References listed on IDEAS

    as
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    7. Rama Cont & Romain Deguest & Giacomo Scandolo, 2010. "Robustness and sensitivity analysis of risk measurement procedures," Post-Print hal-00413729, HAL.
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    10. Walter Farkas & Pablo Koch-Medina & Cosimo Munari, 2012. "Beyond cash-additive risk measures: when changing the num\'{e}raire fails," Papers 1206.0478, arXiv.org, revised Feb 2014.
    11. Volker Kratschmer & Alexander Schied & Henryk Zahle, 2012. "Comparative and qualitative robustness for law-invariant risk measures," Papers 1204.2458, arXiv.org, revised Jan 2014.
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