As a generalization of a result of Kusuoka (2001), we provide the representation of law invariant convex risk measures. Very particular cases of law invariant coherent and convex risk measures are also studied.
Frittelli, M., ROSAZZA GIANIN, E. (2005). Law Invariant Risk Measures. In Advances in Mathematical Economics (pp. 33-46). Springer Verlag, Japan.
Law Invariant Risk Measures
ROSAZZA GIANIN, EMANUELA
2005
Abstract
As a generalization of a result of Kusuoka (2001), we provide the representation of law invariant convex risk measures. Very particular cases of law invariant coherent and convex risk measures are also studied.
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