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Licensed Unlicensed Requires Authentication Published by De Gruyter (A) September 6, 2014

Law-invariant risk measures: Extension properties and qualitative robustness

Pablo Koch-Medina EMAIL logo and Cosimo Munari

Abstract

We characterize when a convex risk measure associated to a law-invariant acceptance set in L can be extended to Lp, 1p<, 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.

MSC: 91B30; 91G80

Funding source: SNF

Award Identifier / Grant number: 51NF40-144611

Received: 2014-1-9
Accepted: 2014-5-26
Published Online: 2014-9-6
Published in Print: 2014-12-1

© 2014 by De Gruyter

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