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Law invariant risk measures on L∞ (ℝd)

Author

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  • Ekeland Ivar

    (Université Paris-Dauphine, CEREMADE and Institut de Finance, Paris CEDEX 16, Frankreich)

  • Schachermayer Walter

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.

Suggested Citation

  • Ekeland Ivar & Schachermayer Walter, 2011. "Law invariant risk measures on L∞ (ℝd)," Statistics & Risk Modeling, De Gruyter, vol. 28(3), pages 195-225, September.
    • Handle: RePEc:bpj:strimo:v:28:y:2011:i:3:p:195-225:n:3
    DOI: 10.1524/stnd.2011.1099
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    References listed on IDEAS

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