As a generalization of a result of Kusuoka (2001), we provide the representation of law invariant convex risk measures. Very particular cases of law invariant coherent and convex risk measures are also studied.

Frittelli, M., ROSAZZA GIANIN, E. (2005). Law Invariant Risk Measures. In Advances in Mathematical Economics (pp. 33-46). Springer Verlag, Japan.

Law Invariant Risk Measures

ROSAZZA GIANIN, EMANUELA
2005

Abstract

As a generalization of a result of Kusuoka (2001), we provide the representation of law invariant convex risk measures. Very particular cases of law invariant coherent and convex risk measures are also studied.
Capitolo o saggio
law invariant
English
Advances in Mathematical Economics
978-4-431-24332-8
Frittelli, M., ROSAZZA GIANIN, E. (2005). Law Invariant Risk Measures. In Advances in Mathematical Economics (pp. 33-46). Springer Verlag, Japan.
Frittelli, M; ROSAZZA GIANIN, E
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Utilizza questo identificativo per citare o creare un link a questo documento: http://hdl.handle.net/10281/5370
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