The strong Fatou property of risk measures

In this paper, we explore several Fatou-type properties of risk measures. The paper continues to reveal that the strong Fatou property,whichwas introduced in [19], seems to be most suitable to ensure nice dual representations of risk measures. Our main result asserts that every quasiconvex law-invar...

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Veröffentlicht in:Dependence modeling 2018-10, Vol.6 (1), p.183-196
Hauptverfasser: Chen, Shengzhong, Gao, Niushan, Xanthos, Foivos
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Sprache:eng
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Zusammenfassung:In this paper, we explore several Fatou-type properties of risk measures. The paper continues to reveal that the strong Fatou property,whichwas introduced in [19], seems to be most suitable to ensure nice dual representations of risk measures. Our main result asserts that every quasiconvex law-invariant functional on a rearrangement invariant space X with the strong Fatou property is (X, L1) lower semicontinuous and that the converse is true on a wide range of rearrangement invariant spaces. We also study inf-convolutions of law-invariant or surplus-invariant risk measures that preserve the (strong) Fatou property.
ISSN:2300-2298
2300-2298
DOI:10.1515/demo-2018-0012