Details
| Original language | English |
|---|---|
| Pages (from-to) | 150-165 |
| Number of pages | 16 |
| Journal | Insurance: Mathematics and Economics |
| Volume | 77 |
| Early online date | 4 Oct 2017 |
| Publication status | Published - Nov 2017 |
| Externally published | Yes |
Abstract
We show how risk measures originally defined in a model free framework in terms of acceptance sets and reference assets imply a meaningful underlying probability structure. Hereafter we construct a maximal domain of definition of the risk measure respecting the underlying ambiguity profile. We particularly emphasise liquidity effects and discuss the correspondence between properties of the risk measure and the structure of this domain as well as subdifferentiability properties.
Keywords
- Continuity properties of risk measures, Extension of risk measures, Implied reference models, Model free risk assessment, Subgradients
ASJC Scopus subject areas
- Economics, Econometrics and Finance(all)
- Economics and Econometrics
- Mathematics(all)
- Statistics and Probability
- Decision Sciences(all)
- Statistics, Probability and Uncertainty
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In: Insurance: Mathematics and Economics, Vol. 77, 11.2017, p. 150-165.
Research output: Contribution to journal › Article › Research › peer review
}
TY - JOUR
T1 - Model spaces for risk measures
AU - Liebrich, F.-B.
AU - Svindland, G.
N1 - Publisher Copyright: © 2017 Elsevier B.V.
PY - 2017/11
Y1 - 2017/11
N2 - We show how risk measures originally defined in a model free framework in terms of acceptance sets and reference assets imply a meaningful underlying probability structure. Hereafter we construct a maximal domain of definition of the risk measure respecting the underlying ambiguity profile. We particularly emphasise liquidity effects and discuss the correspondence between properties of the risk measure and the structure of this domain as well as subdifferentiability properties.
AB - We show how risk measures originally defined in a model free framework in terms of acceptance sets and reference assets imply a meaningful underlying probability structure. Hereafter we construct a maximal domain of definition of the risk measure respecting the underlying ambiguity profile. We particularly emphasise liquidity effects and discuss the correspondence between properties of the risk measure and the structure of this domain as well as subdifferentiability properties.
KW - Continuity properties of risk measures
KW - Extension of risk measures
KW - Implied reference models
KW - Model free risk assessment
KW - Subgradients
UR - http://www.scopus.com/inward/record.url?scp=85033587405&partnerID=8YFLogxK
U2 - 10.1016/j.insmatheco.2017.09.006
DO - 10.1016/j.insmatheco.2017.09.006
M3 - Article
VL - 77
SP - 150
EP - 165
JO - Insurance: Mathematics and Economics
JF - Insurance: Mathematics and Economics
SN - 0167-6687
ER -