Complete duality for quasiconvex dynamic risk measures on modules of the Lp-type

Marco Frittelli; Marco Maggis

doi:10.1515/strm-2013-1163

Published by De Gruyter (A) March 28, 2014

Complete duality for quasiconvex dynamic risk measures on modules of the L^p-type

Marco Frittelli and Marco Maggis

From the journal Statistics & Risk Modeling

https://doi.org/10.1515/strm-2013-1163

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Abstract

In the conditional setting we provide a complete duality between quasiconvex risk measures defined on L⁰ modules of the L^p type and the appropriate class of dual functions. This is based on a general result which extends the usual Penot-Volle representation for quasiconvex real valued maps.

Keywords: Quasiconvex functions; dual representation; complete duality; L0-modules; dynamic risk measures

AMS (2010): Primary: 46N10; 91G99; 91B06 46A20; Secondary: 60H99; 46N30; 91B02; 46E30

Received: 2013-4-10

Accepted: 2013-7-10

Published Online: 2014-3-28

Published in Print: 2014-3-28

Complete duality for quasiconvex dynamic risk measures on modules of the L^p-type

Abstract

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