Friday, November 8, 2019

Friday, November 8, 2019 — 10:30 to 10:30 AM EST

Transformed norm risk measures on their natural domain

P. Cheridito, and T. Li (2009) introduced the class of transformed norm risk measures. This is a fairly large class of real-valued convex law-invariant monetary risk measures, which includes the expected shortfall, the Haezendonck-Goovaerts risk measure, the entropic risk measure and other important examples. The natural domain of a transformed norm risk measure T is an appropriate Orlicz space. Nonetheless, dual representations for this class of risk measures are only known if T is restricted on the Orlicz heart. In this talk we will explore dual representations on their natural domain. Moreover we will discuss continuity properties of dilatation monotone risk measures on general model spaces that are of independent interest.

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