英文标题：
《The strong Fatou property of risk measures》
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作者：
Shengzhong Chen, Niushan Gao, Foivos Xanthos
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最新提交年份：
2018
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英文摘要：
In this paper, we explore several Fatou-type properties of risk measures. The paper continues to reveal that the strong Fatou property, which was introduced in [17], seems to be most suitable to ensure nice dual representations of risk measures. Our main result asserts that every quasiconvex law-invariant functional on a rearrangement invariant space $\\mathcal{X}$ with the strong Fatou property is $\\sigma(\\mathcal{X},L^\\infty)$ lower semicontinuous and that the converse is true on a wide range of rearrangement invariant spaces. We also study inf-convolutions of law-invariant or surplus-invariant risk measures that preserve the (strong) Fatou property.
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中文摘要：
在本文中，我们探讨了几种Fatou型风险测度的性质。本文继续揭示，在[17]中引入的强Fatou属性似乎最适合确保风险度量的良好双重表示。我们的主要结果表明，重排不变空间$\\数学{X}$上具有强Fatou性质的每一个拟凸律不变泛函都是$\\ sigma（\\数学{X}，L^ \\ infty）$下半连续的，在广泛的重排不变空间上反之亦然。我们还研究了保持（强）Fatou性质的律不变或剩余不变风险测度的inf卷积。
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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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