Fatou property of risk measures on Orlicz spaces


For a coherent risk measure ρ on the space of bounded random variables, Delbaen (2002) proved that ρ can be represented as the worst expectation over a class of probabilities whenever ρ has the Fatou property. Lately,... [ view full abstract ]


  1. Niushan Gao (Ryerson University)
  2. Denny Leung (National University of Singapore)
  3. Cosimo-Andrea Munari (University of Zurich)
  4. Foivos Xanthos (Ryerson University)

Topic Areas

Risk Measures , Robustness


MO-P-UI » Risk Measures: Theory and Practice (14:30 - Monday, 16th July, Ui Chadhain)

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