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Law invariant convex risk measures

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Advances in Mathematical Economics

Part of the book series: Advances in Mathematical Economics ((MATHECON,volume 7))

Abstract

As a generalization of a result by Kusuoka (2001), we provide the representation of law invariant convex risk measures. Very particular cases of law invariant coherent and convex risk measures are also studied.

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Author information

Authors and Affiliations

  1. Dipartimento di Matematica per le Decisioni, Università degli Studi di Firenze, Italy, Via C. Lombroso, 6/17, 50134, Firenze, Italy

    Marco Frittelli

  2. Dipartimento di Matematica e Statistica, Università di Napoli Federico II, Italy, Via Cinzia, 80126, Napoli, Italy

    Emanuela Rosazza Gianin

Authors
  1. Marco Frittelli
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  2. Emanuela Rosazza Gianin
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Corresponding author

Correspondence to Emanuela Rosazza Gianin .

Editor information

Editors and Affiliations

  1. Graduate School of Mathematical Sciences, University of Tokyo, 3-8-1 Komaba, Meguro-ku, Tokyo, 153-0041, Japan

    Shigeo Kusuoka (Professor) (Professor)

  2. Graduate Faculty of Economics, Hitotsubashi University, Kunitachi, Tokyo, 186-8601, Japan

    Akira Yamazaki (Professor) (Professor)

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© 2005 Springer-Verlag

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Frittelli, M., Gianin, E.R. (2005). Law invariant convex risk measures. In: Kusuoka, S., Yamazaki, A. (eds) Advances in Mathematical Economics. Advances in Mathematical Economics, vol 7. Springer, Tokyo. https://doi.org/10.1007/4-431-27233-X_2

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