- Working Paper
We characterize when a convex risk measure associated to a law-invariant acceptance set in L ∞ can be extended to L p , 1≤p<∞ , preserving finiteness and continuity. This problem is strongly connected to the statistical robustness of the corresponding risk measures. Special attention is paid to concrete examples including risk measures based on expected utility, max-correlation risk measures, and distortion risk measures Show more
Journal / seriesarXiv
SubjectExtension of risk measures; Acceptance sets; Law invariance; Statistical robustness; Expected utility; Max-correlation risk measures; Distortion risk measures
Organisational unit03658 - Schweizer, Martin
NotesSubmitted on 14 January 2014.
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