RISK MEASURES ON ORLICZ HEARTS

By Patrick Cheridito, T. Li. 2009

228 citations recorded by the source corpus.

Subfields: Finance, Management Science and Operations Research, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/9621a18a0ab2ec38093286214004b0bae00c78a4

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Citations in the corpus

THE CANONICAL MODEL SPACE FOR LAW‐INVARIANT CONVEX RISK MEASURES IS L1 (2012, background): “Risk measures on Lp have been studied by several authors, e.g. [2, 3 , 10, 11, 13].”
On the Extension of the Namioka-Klee Theorem and on the Fatou Property for Risk Measures (2009, methodology): “5 some of the findings in [ 9 ] are special case our results, while other properties do not hold in the general case, essentially because the topology on the (whole) Orlicz space L Ψ is not order continuous.”
The natural Banach space for version independent risk measures (2013, unknown): “(See, for different configurations, [6, 7].”
Statistical estimation of composite risk functionals and risk optimization problems (2015, background): “(4) These risk measures are special cases of a more general family considered in [7]; they are also examples of optimized certainty equivalents of [3].”
Haezendonck-Goovaerts risk measures and Orlicz quantiles (2012, methodology): “In the terminology of Cheridito and Li (2009), a Transformed Norm Risk measure on MΦ has the following form: inf s∈R {F (‖H (s−X)‖G)− s} , where • F : [0,+∞) → (−∞,+∞] is a left-continuous, increasing and convex function such that limx→+∞ F (x) = +∞; • G : [0,+∞) → [0,+∞) is increasing and convex,…”
Dual characterization of properties of risk measures on Orlicz hearts (2008, unknown): “; see Section 5.1 of Cheridito and Li (2007).”
INDIFFERENCE PRICE WITH GENERAL SEMIMARTINGALES (2009, background): “…norm continuity and subdifferentiability of π̃ (and thus of π ) on B follow from an extension of the classic Namioka-Klee theorem for convex monotone functionals (see Ruszczynski and Shapiro 2006, but also Biagini and Frittelli 2009 and Cheridito and Li 2009 in the context of Risk Measures).”
MULTIVARIATE RISK MEASURES: A CONSTRUCTIVE APPROACH BASED ON SELECTIONS (2013, background): “The setting of Riesz spaces (partially ordered linear spaces), in particular Fréchet lattices and Orlicz spaces, has become already common in the theory of risk measures, see Biagini and Fritelli (2008), Cheridito and Li (2009).”
COMONOTONIC MEASURES OF MULTIVARIATE RISKS (2012, unknown): “The reader is referred to Dana (2005) and Cheridito and Li (2009) for a nice treatment of this variational problem and the dual representation of Schur convex functions in the univariate case.”