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Set-Valued Law Invariant Coherent And Convex Risk Measures

Author

Listed:
  • 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)

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.

Suggested Citation

  • Yanhong Chen & Yijun Hu, 2019. "Set-Valued Law Invariant Coherent And Convex Risk Measures," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 22(03), pages 1-18, May.
    • Handle: RePEc:wsi:ijtafx:v:22:y:2019:i:03:n:s0219024919500043
    DOI: 10.1142/S0219024919500043
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    References listed on IDEAS

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