Fatou property, representations, and extensions of law-invariant risk measures on general Orlicz spaces-Reference-Cited by-同舟云学术

Fatou property, representations, and extensions of law-invariant risk measures on general Orlicz spaces

Published:2018-03-13 Issue:2 Volume:22 Page:395-415
ISSN:0949-2984
Container-title:Finance and Stochastics
language:en
Short-container-title:Finance Stoch

Author:

Gao Niushan,Leung Denny,Munari Cosimo,Xanthos Foivos

Publisher

Springer Science and Business Media LLC

Subject

Statistics, Probability and Uncertainty,Finance,Statistics and Probability

Link

http://link.springer.com/article/10.1007/s00780-018-0357-7/fulltext.html

Reference29 articles.

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3. Belomestny, D., Krätschmer, V.: Central limit theorems for law-invariant coherent risk measures. J. Appl. Probab. 49, 1–21 (2012)

4. Belomestny, D., Krätschmer, V.: Optimal stopping under probability distortions. Math. Oper. Res. 42, 806–833 (2017)

5. Biagini, S., Frittelli, M.: On the extension of the Namioka–Klee theorem and on the Fatou property for risk measures. In: Delbaen, F., et al. (eds.) Optimality and Risk—Modern Trends in Mathematical Finance. The Kabanov Festschrift, pp. 1–28. Springer, Berlin (2009)

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