Convex risk measures on Orlicz spaces: inf-convolution and shortfall
Author:
Publisher
Springer Science and Business Media LLC
Subject
Statistics, Probability and Uncertainty,Finance,Statistics and Probability
Link
http://link.springer.com/content/pdf/10.1007/s11579-010-0028-8.pdf
Reference23 articles.
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4. Barrieu P., El Karoui N.: Inf-convolution of risk measures and optimal risk transfer. Finance Stoch. 9, 269–298 (2005)
5. Biagini S., Frittelli M.: A unified framework for utility maximization problems: an Orlicz space approach. Ann. Appl. Probab. 18, 929–966 (2008)
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