Law-invariant risk measures: extension properties and qualitative robustness

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Author
Koch-Medina, Pablo
Munari, Cosimo
Date
2014-01-09
Type
    Working Paper
Publication status
published
External links
Journal / series
arXiv
Pages / Article No.
1401.3121
Publisher
Cornell University
Subject
Extension of risk measures; Acceptance sets; Law invariance; Statistical robustness; Expected utility; Max-correlation risk measures; Distortion risk measures
Organisational unit
03658 - Schweizer, Martin / Schweizer, Martin  
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yes
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