Abstract
We extend earlier representation results for monetary risk measures on Orlicz hearts. Then we give general conditions for such risk measures to be Gâteaux-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. The theoretical results are used to analyze various specific examples of risk measures.
Volume
2
Page
29-55
Number
1
Year
2008
Keywords
risk measures; Gâteaux-differentiability; strict monotonicity; strict convexity; stochastic orders; Orlicz hearts
Categories
New Risk Measures
Publications
Mathematics and Financial Economics
