Dual Characterization of Properties of Risk Measures

27 Pages Posted: 3 Mar 2008

Date Written: February 26, 2008


We give general conditions for monetary risk measures to be Gateaux-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. Then we use the theoretical results to analyze various specific examples of risk measures. Some of them have appeared in earlier papers, others are new.

Keywords: Risk measures, Gateaux-differentiability, strict monotonicity, strict convexity, stochastic orders, Orlicz hearts

JEL Classification: D80, D81

Suggested Citation

Cheridito, Patrick and Li, Tianhui, Dual Characterization of Properties of Risk Measures (February 26, 2008). Available at SSRN: https://ssrn.com/abstract=1098864 or http://dx.doi.org/10.2139/ssrn.1098864

Patrick Cheridito (Contact Author)

ETH Zurich ( email )

Department of Mathematics
8092 Zurich

Tianhui Li

Princeton University ( email )

22 Chambers Street
Princeton, NJ 08544-0708
United States

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