On the Penalty Function and on Continuity Properties of Risk Measures
Year Of Publication: 2010
Month Of Publication: February
Pages: 24
Download Count: 1
View Count: 36
Comment Num: 0
Language: English
Source: working paper
Who Can Read: Free
Date: 7-30-2010
Publisher: Administrator
Summary
We discuss two issues about risk measures: we first point out an alternative
interpretation of the penalty function in the dual representation of
a risk measure; then we analyze the continuity properties of comonotone
convex risk measures. In particular, due to the loss of convexity, local and
global continuity are no more equivalent and many implications true for
convex risk measures do not hold any more.
interpretation of the penalty function in the dual representation of
a risk measure; then we analyze the continuity properties of comonotone
convex risk measures. In particular, due to the loss of convexity, local and
global continuity are no more equivalent and many implications true for
convex risk measures do not hold any more.
Find all documents with these keywords:
risk measures comonotonicity nonconvex risk measure
Find all documents in these Categories:
VaR Methods——Properties of VaR
risk measures comonotonicity nonconvex risk measure
Find all documents in these Categories:
VaR Methods——Properties of VaR
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