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Statistics & Risk Modeling

with Applications in Finance and Insurance

Editor-in-Chief: Stelzer, Robert

4 Issues per year


Cite Score 2017: 0.96

SCImago Journal Rank (SJR) 2017: 0.455
Source Normalized Impact per Paper (SNIP) 2017: 0.853

Mathematical Citation Quotient (MCQ) 2016: 0.32

Online
ISSN
2196-7040
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Volume 31, Issue 3-4

Issues

Law-invariant risk measures: Extension properties and qualitative robustness

Pablo Koch-Medina / Cosimo Munari
Published Online: 2014-09-06 | DOI: https://doi.org/10.1515/strm-2014-0002

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.

Keywords: Extension of risk measures; acceptance sets; law invariance; statistical robustness; index of finiteness; index of qualitative robustness; expected utility; max-correlation risk measures; distortion risk measures

MSC: 91B30; 91G80

About the article

Received: 2014-01-09

Accepted: 2014-05-26

Published Online: 2014-09-06

Published in Print: 2014-12-01


Funding Source: SNF

Award identifier / Grant number: 51NF40-144611


Citation Information: Statistics & Risk Modeling, Volume 31, Issue 3-4, Pages 215–236, ISSN (Online) 2196-7040, ISSN (Print) 2193-1402, DOI: https://doi.org/10.1515/strm-2014-0002.

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