In the conditional setting we provide a complete duality between quasiconvex riskmeasures defined on L0 modules of the Lp type and the appropriate class of dual functions. This is based on a general result which extends the usual Penot-Volle representation for quasiconvex real valued maps.
Complete duality for quasiconvex dynamic risk measures on modules of the Lp-type / M. Frittelli, M. Maggis. - In: STATISTICS & RISK MODELING. - ISSN 2193-1402. - 31:1(2014), pp. 103-128. [10.1515/strm-2013-1163]
Complete duality for quasiconvex dynamic risk measures on modules of the Lp-type
M. FrittelliPrimo
;M. MaggisUltimo
2014
Abstract
In the conditional setting we provide a complete duality between quasiconvex riskmeasures defined on L0 modules of the Lp type and the appropriate class of dual functions. This is based on a general result which extends the usual Penot-Volle representation for quasiconvex real valued maps.
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