As a generalization of a result by Kusuoka (2001), we provide the representation of law invariant convex risk measures. Very particular cases of law invariant coherent and convex risk measures are also studied.
Law invariant convex risk measures / M. Frittelli, E. Rosazza Gianin (ADVANCES IN MATHEMATICAL ECONOMICS). - In: Advances in mathematical economics / [a cura di] S. Kusuoka, A. Yamazaki. - Tokyo : Springer-Verlag, 2005. - ISBN 9784431243328. - pp. 33-46 [10.1007/4-431-27233-X_2]
Law invariant convex risk measures
M. FrittelliPrimo
;
2005
Abstract
As a generalization of a result by Kusuoka (2001), we provide the representation of law invariant convex risk measures. Very particular cases of law invariant coherent and convex risk measures are also studied.
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