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arXiv · 2109.10612

Law of Large Numbers for Risk Measures

Freddy Delbaen
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Abstract

Under appropriate integrability conditions the risk measure of the sample measures for a law invariant risk measure converge almost surely to the risk measure of the sampled random variable. The results follow from general convergence theorems based on the theory of Orlicz spaces.

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Freddy Delbaen. 2021-09-22. Law of Large Numbers for Risk Measures. https://arxiv.org/abs/2109.10612

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