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Subgradients of law-invariant convex risk measures on L

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  • Svindland Gregor

Abstract

We introduce a generalised subgradient for law-invariant closed convex risk measures on L1 and establish its relationship with optimal risk allocations and equilibria. Our main result gives sufficient conditions ensuring a non-empty generalised subgradient.

Suggested Citation

  • Svindland Gregor, 2009. "Subgradients of law-invariant convex risk measures on L," Statistics & Risk Modeling, De Gruyter, vol. 27(2), pages 169-199, December.
    • Handle: RePEc:bpj:strimo:v:27:y:2009:i:2:p:169-199:n:4
    DOI: 10.1524/stnd.2009.1040
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    References listed on IDEAS

    as
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