Download This PaperDual Characterization of Properties of Risk Measures
27 Pages Posted: 3 Mar 2008
Date Written: February 26, 2008
Abstract
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: 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
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