Friday, May 10, 2019

Friday, May 10, 2019 — 10:30 to 10:30 AM EDT

SURPLUS-INVARIANT RISK MEASURES ON ROBUST MODEL SPACES

In this talk, we present a systematic study of the notion of surplus invariance. In essence, the property of surplus invariance stipulates that whether or not a financial institution is adequately capitalized from a regulatory perspective should not depend the surplus profile of the company but only on its default profile. Besides providing a unifying perspective on the existing literature, we establish a variety of new results including dual representations and extensions of surplus-invariant risk measures and structural results for surplus-invariant acceptance sets. The power of our results is demonstrated in model spaces with a dominating probability, including Orlicz spaces, as well as in robust model spaces where a dominating probability does not exist.

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