Journal
MATHEMATICAL METHODS OF OPERATIONS RESEARCH
Volume 69, Issue 3, Pages 475-495Publisher
SPRINGER HEIDELBERG
DOI: 10.1007/s00186-008-0248-3
Keywords
Convex risk measure; Expected shortfall; Optimal risk allocation
Ask authors/readers for more resources
Much of the recent literature on risk measures is concerned with essentially bounded risks in L (az). In this paper we investigate in detail continuity and representation properties of convex risk measures on L (p) spaces. This frame for risks is natural from the point of view of applications since risks are typically modelled by unbounded random variables. The various continuity properties of risk measures can be interpreted as robustness properties and are useful tools for approximations. As particular examples of risk measures on L (p) we discuss the expected shortfall and the shortfall risk. In the final part of the paper we consider the optimal risk allocation problem for L (p) risks.
Authors
I am an author on this paper
Click your name to claim this paper and add it to your profile.
Reviews
Recommended
No Data Available