期刊
MATHEMATICS AND FINANCIAL ECONOMICS
卷 3, 期 2, 页码 73-88出版社
SPRINGER HEIDELBERG
DOI: 10.1007/s11579-010-0028-8
关键词
Convex risk measure; Orlicz space; Inf-convolution; Shortfall
类别
资金
- Ministry of Education, Culture, Sports, Science and Technology of Japan [19540144]
- Grants-in-Aid for Scientific Research [22540149, 19540144] Funding Source: KAKEN
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.
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