Abstract
We give general conditions for monetary risk measures to be Gateaux-differentiable, strictly monotone with respect to almost sure inequality, strictly convex modulo translation, strictly convex modulo comonotonicity, or monotone with respect to different stochastic orders. Then we use the theoretical results to analyze various specific examples of risk measures. Some of them have appeared in earlier papers, others are new.
Series
Working Paper
Year
2008
Keywords
risk measures; Gateaux-differentiability; strict monotonicity; strict convexity; stochastic orders; Orlicz hearts
Categories
New Risk Measures
