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We provide a representation theorem for convex risk measures defined on L^{p}(Ω,F,P) spaces, 1≤p≤+∞, and we discuss the financial meaning of the convexity axiom. We characterize those convex risk measures that are law invariant and show the link between convex risk measures and utility based prices in incomplete market models. As a natural extension of the representation of convex risk measures, we introduce and study a class of dynamic convex risk measures.

Dynamic convex risk measures / M. Frittelli, E. Rosazza Gianin - In: Risk measures for the 21th Century / [a cura di] Giorgio Szego. - New York : John Wiley & Sons, 2004. - ISBN 978-0-470-86154-7. - pp. 227-248

Dynamic convex risk measures

M. Frittelli
Primo
;
2004

Abstract

We provide a representation theorem for convex risk measures defined on L^{p}(Ω,F,P) spaces, 1≤p≤+∞, and we discuss the financial meaning of the convexity axiom. We characterize those convex risk measures that are law invariant and show the link between convex risk measures and utility based prices in incomplete market models. As a natural extension of the representation of convex risk measures, we introduce and study a class of dynamic convex risk measures.
English
risk measures ; convex risk measures ; dynamic risk measures ; entropic risk measures ; law invariant risk measures ; coherent risk measures ; g-expectations
Settore SECS-S/06 - Metodi mat. dell'economia e Scienze Attuariali e Finanziarie
Settore MAT/06 - Probabilita' e Statistica Matematica
Capitolo o Saggio
Esperti anonimi
Risk measures for the 21th Century
Giorgio Szego
New York
John Wiley & Sons
2004
227
248
978-0-470-86154-7
Volume a diffusione internazionale
http://eu.wiley.com/WileyCDA/WileyTitle/productCd-0470861541,descCd-tableOfContents.html
WOS:000232122000005
M. Frittelli, E. Rosazza Gianin
Book Part (author)
none
268
Dynamic convex risk measures / M. Frittelli, E. Rosazza Gianin - In: Risk measures for the 21th Century / [a cura di] Giorgio Szego. - New York : John Wiley & Sons, 2004. - ISBN 978-0-470-86154-7. - pp. 227-248
info:eu-repo/semantics/conferenceObject
2
Prodotti della ricerca::03 - Contributo in volume
03 - Contributo in volume
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/2434/28308
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