英文标题：
《Risk measures with the CxLS property》
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作者：
Freddy Delbaen, Fabio Bellini, Valeria Bignozzi and Johanna F. Ziegel
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最新提交年份：
2014
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英文摘要：
In the present contribution we characterize law determined convex risk measures that have convex level sets at the level of distributions. By relaxing the assumptions in Weber (2006), we show that these risk measures can be identified with a class of generalized shortfall risk measures. As a direct consequence, we are able to extend the results in Ziegel (2014) and Bellini and Bignozzi (2014) on convex elicitable risk measures and confirm that expectiles are the only elicitable coherent risk measures. Further, we provide a simple characterization of robustness for convex risk measures in terms of a weak notion of mixture continuity.
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中文摘要：
在本文中，我们刻画了在分布水平上具有凸水平集的由法律决定的凸风险测度。通过放松Weber（2006）中的假设，我们证明了这些风险度量可以用一类广义短缺风险度量来识别。作为直接结果，我们能够扩展Ziegel（2014）和Bellini and Bignozzi（2014）中关于凸可引出风险度量的结果，并确认预期值是唯一可引出的一致风险度量。此外，我们利用混合连续性的弱概念，给出了凸风险测度鲁棒性的一个简单刻画。
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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
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