Convex risk measures on Orlicz spaces: Inf-convolution and shortfall

研究成果: Article査読

9 被引用数 (Scopus)

抄録

We focus on, throughout this paper, convex risk measures defined on Orlicz spaces. In particular, we investigate basic properties of inf-convolutions defined between a convex risk measure and a convex set, and between two convex risk measures. Moreover, we study shortfall risk measures, which are convex risk measures induced by the shortfall risk. By using results on inf-convolutions, we obtain a robust representation result for shortfall risk measures defined on Orlicz spaces under the assumption that the set of hedging strategies has the sequential compactness in a weak sense. We discuss in addition a construction of an example having the sequential compactness.

本文言語English
ページ(範囲)73-88
ページ数16
ジャーナルMathematics and Financial Economics
3
2
DOI
出版ステータスPublished - 2010 7

ASJC Scopus subject areas

  • 統計学および確率
  • 財務
  • 統計学、確率および不確実性

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