Dual characterization of properties of risk measures on Orlicz hearts

@article{Cheridito2008DualCO,
  title={Dual characterization of properties of risk measures on Orlicz hearts},
  author={Patrick Cheridito and T. Li},
  journal={Mathematics and Financial Economics},
  year={2008},
  volume={2},
  pages={29-55}
}
  • Patrick Cheridito, T. Li
  • Published 2008
  • Mathematics
  • Mathematics and Financial Economics
  • AbstractWe extend earlier representation results for monetary risk measures on Orlicz hearts. Then we give general conditions for such risk measures to be Gâteaux-differentiable, strictly monotone with respect to almost sure inequality, strictly convex modulo translation, strictly convex modulo comonotonicity, or monotone with respect to different stochastic orders. The theoretical results are used to analyze various specific examples of risk measures. 
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