On the Extension of the Namioka-Klee Theorem and on the Fatou Property for Risk Measures
Company: Optimality and Risk
Year Of Publication: 2009
Month Of Publication: August
Resource Link: http://dx.doi.org/10.1007/978-3-642-02608-9_1
Pages: 1-28
Download Count: 0
View Count: 36
Comment Num: 0
Language: English
Source: book chapter
Who Can Read: Free
Date: 7-30-2010
Publisher: Administrator
Summary
This paper has been motivated by general considerations on the topic of Risk Measures, which essentially are convex monotone maps defined on spaces of random variables, possibly with the so-called Fatou property.
We show first that the celebrated Namioka-Klee theorem for linear, positive functionals holds also for convex monotone maps p on Frechet lattices. One main application of these results leads to the study of convex risk measures defined on Orlicz spaces and of their dual representation.
We show first that the celebrated Namioka-Klee theorem for linear, positive functionals holds also for convex monotone maps p on Frechet lattices. One main application of these results leads to the study of convex risk measures defined on Orlicz spaces and of their dual representation.
Find all documents with these keywords:
convex risk measure lower continuity Fatou property Orlicz spaces
Find all documents in these Categories:
VaR Methods——Properties of VaR
convex risk measure lower continuity Fatou property Orlicz spaces
Find all documents in these Categories:
VaR Methods——Properties of VaR
Documents that cite this work:
Member Sign-in
