Law-invariant risk measures: extension properties and qualitative robustness

Pablo Koch-Medina; Cosimo Munari

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arXiv · 1401.3121

Law-invariant risk measures: extension properties and qualitative robustness

Pablo Koch-Medina·Cosimo Munari

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Abstract

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

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Pablo Koch-Medina, Cosimo Munari. 2014-01-14. Law-invariant risk measures: extension properties and qualitative robustness. https://arxiv.org/abs/1401.3121

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