英文标题：
《Law-invariant risk measures: extension properties and qualitative
robustness》
---
作者：
Pablo Koch-Medina, Cosimo Munari
---
最新提交年份：
2014
---
英文摘要：
We characterize when a convex risk measure associated to a law-invariant acceptance set in $L^\\infty$ can be extended to $L^p$, $1\\leq p<\\infty$, preserving finiteness and continuity. This problem is strongly connected to the statistical robustness of the corresponding risk measures. Special attention is paid to concrete examples including risk measures based on expected utility, max-correlation risk measures, and distortion risk measures.
---
中文摘要：
我们刻画了与$L^\\infty$中的定律不变接受集相关联的凸风险度量何时可以扩展到$L^p$，$1\\leq p<\\infty$，从而保持有限性和连续性。这个问题与相应风险度量的统计稳健性密切相关。特别注意具体示例，包括基于预期效用的风险度量、最大相关风险度量和失真风险度量。
---
分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Risk Management 风险管理
分类描述：Measurement and management of financial risks in trading, banking, insurance, corporate and other applications
衡量和管理贸易、银行、保险、企业和其他应用中的金融风险
--
一级分类：Mathematics 数学
二级分类：Statistics Theory 统计理论
分类描述：Applied, computational and theoretical statistics: e.g. statistical inference, regression, time series, multivariate analysis, data analysis, Markov chain Monte Carlo, design of experiments, case studies
应用统计、计算统计和理论统计：例如统计推断、回归、时间序列、多元分析、数据分析、马尔可夫链蒙特卡罗、实验设计、案例研究
--
一级分类：Statistics 统计学
二级分类：Statistics Theory 统计理论
分类描述：stat.TH is an alias for math.ST. Asymptotics, Bayesian Inference, Decision Theory, Estimation, Foundations, Inference, Testing.
Stat.Th是Math.St的别名。渐近，贝叶斯推论，决策理论，估计，基础，推论，检验。
--

---
PDF下载：
-->