Convex risk measures on Orlicz spaces : convolution and shortfall

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Note (General)：: type:textWe focus on, throughout this paper, convex risk measures defined on Orlicz spaces. In particular, we investigate basic properties of convolut...

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Material Type: 文書・図像類
Title: Convex risk measures on Orlicz spaces : convolution and shortfall
Author/Editor: 新井, 拓児
Author Heading: 新井, 拓児
Publication, Distribution, etc.: Keio Economic Society, Keio University
Publication Date: 2009
Publication Date (W3CDTF): 2009
Periodical title: Keio Economic Society discussion paper series
No. or year of volume/issue: 09 4
Volume: 09
Issue: 4
Text Language Code: eng
Target Audience: 一般
Note (General): type:text
We focus on, throughout this paper, convex risk measures defined on Orlicz spaces. In particular, we investigate basic properties of convolutions defined between a convex risk measure and a convex set, and between two convex risk measures. Moreover, we study shortfall risk measures, which are convex risk measures induced by the shortfall risk. By using results on convolutions, we obtain a robust representation result for shortfall risk measures defined on Orlicz spaces under the assumption that the set of hedging strategies has the sequential compactness in a weak sense. We discuss in addition a construction of an example having the sequential compactness.
Access Restrictions: 限定公開
Data Provider (Database): 国立情報学研究所 : 学術機関リポジトリデータベース（IRDB）（機関リポジトリ）
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Original Data Provider (Database): 慶應義塾大学 : 慶應義塾大学学術情報リポジトリ