RISK MEASURES FOR NON‐INTEGRABLE RANDOM VARIABLES

By Freddy Delbaen. 2009

49 citations recorded by the source corpus.

Subfields: Finance, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/34c2a4266e5d5600d134f1e90a97db38a707b0df

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Finance

1. Ruodu Wang
2. Paul Embrechts
3. Ludger Rüschendorf
4. Carole Bernard
5. Xiao Jiang
6. Antonela Beleraj
7. T. Li
8. Patrick Cheridito

In Management Science and Operations Research

1. Ruodu Wang
2. Ludger Rüschendorf
3. Paul Embrechts
4. Carole Bernard
5. Antonela Beleraj
6. Xiao Jiang
7. T. Li
8. Patrick Cheridito

Citations in the corpus

• Risk aggregation with dependence uncertainty (2014, background): “Delbaen (2009) studied the case of non-integrable random variables, and proved that there exist no finite convex risk measures defined on Lp(Ω,A,P) for p ∈ [0, 1).”
• Dual characterization of properties of risk measures on Orlicz hearts (2008, unknown): “Risk measures for unbounded random variables have, among others, been studied in Frittelli and Rosazza Gianin (2002, 2004), Delbaen (2002, 2006), Cherny (2006), Rockafellar et al. (2006), Ruszczyński and Shapiro (2006), Filipović and Kupper (2006), Cheridito and Li (2007), Filipović and…”
• RISK MEASURES ON ORLICZ HEARTS (2009, background): “The economic interpretation of (1.1) is that ρ(X) is the minimal amount of cash which has to be added to a position X to make it acceptable.”
• An Academic Response to Basel 3.5 (2014, background): “Clearly, ES is not defined in this case, nor does there exist any non-trivial coherent risk measure on the space of infinite mean rvs; see Delbaen (2009).”