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On The Penalty Function And On Continuity Properties Of Risk Measures

In: Finance at Fields

Author

Listed:
  • MARCO FRITTELLI

    (Dipartimento di Matematica, Università degli Studi di Milano, Via C. Saldini 50, 20122 Milano, Italy)

  • EMANUELA ROSAZZA GIANIN

    (Dipartimento di Metodi Quantitativi, Università di Milano-Bicocca, Via Bicocca degli Arcimboldi 8, 20126 Milano, Italy)

Abstract

We discuss two issues about risk measures: we first point out an alternative interpretation of the penalty function in the dual representation of a risk measure; then we analyze the continuity properties of comonotone convex risk measures. In particular, due to the loss of convexity, local and global continuity are no more equivalent and many implications true for convex risk measures do not hold any more.

Suggested Citation

  • Marco Frittelli & Emanuela Rosazza Gianin, 2012. "On The Penalty Function And On Continuity Properties Of Risk Measures," World Scientific Book Chapters, in: Matheus R Grasselli & Lane P Hughston (ed.), Finance at Fields, chapter 12, pages 283-305, World Scientific Publishing Co. Pte. Ltd..
  • Handle: RePEc:wsi:wschap:9789814407892_0012
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