Risk measures on orlicz hearts

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August undefined, 2024

Web开馆时间：周一至周日7:00-22:30 周五 7:00-12:00; 我的图书馆 Web1. Introduction. In this work, we prove a hitherto unknown modular convexity property of the Lebesgue spaces with variable exponent, , which has far reaching applications in fixed point theory, remarkably even in the case in which the exponent is unbounded. Lebesgue spaces of variable-exponent ( ) were first mentioned in [ 1 ].

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WebMost related items These are the items that most often cite the same works as this one and are cited by the same works as this one. Niushan Gao & Denny H. Leung & Cosimo Munari & Foivos Xanthos, 2024.Fatou Property, representations, and extensions of law-invariant risk measures on general Orlicz spaces WebCiteSeerX - Document Details (Isaac Councill, Lee Giles, Pradeep Teregowda): Coherent, convex and monetary risk measures were introduced in a setup where uncertain … chilling sign

RISK MEASURES ON ORLICZ HEARTS - Wiley Online Library

WebApr 1, 2009 · Coherent, convex, and monetary risk measures were introduced in a setup where uncertain outcomes are modeled by bounded random variables. In this paper, we … WebMar 11, 2009 · Abstract. Coherent, convex, and monetary risk measures were introduced in a setup where uncertain outcomes are modeled by bounded random variables. In this paper, we study such risk measures on Orlicz hearts. This includes coherent, convex, and … WebMay 9, 2007 · Coherent, convex and monetary risk measures were introduced in a setup where uncertain outcomes are modelled by bounded random variables. In this paper, we … grace missionary baptist church newport nc

Dual characterization of properties of risk measures on Orlicz …

Risk measures on Orlicz heart spaces Semantic Scholar

Webferent probability measures is a non-heavy tailed random variable. This also implies that the use of Orlicz duality far from Lp spaces has a speciﬁc risk-analytic mean-ing: The Young … WebWe shall provide good deal bounds for contingent claims induced by shortfall risk in the framework of the Orlicz heart setting. We prove that the upper and lower bounds of such a good deal bound are expressed by a convex risk measure on an Orlicz heart. ... Risk measures on Orlicz hearts, Math. Finance, 19 (2009), pp. 189–214. Crossref. ISI. chilling shillingWebwith the so called Haezendonck-Goovaerts risk measures, Bellini and Rosazza Gianin (2012) introduced the so called Orlicz quantiles, de ned as the minimizers of ˇ (X;x) := +(X x) 1 + (1 ) (X x) 2; while Jaworski (2006) considered instead loss functions of the type ˇ (X;x) := E 1(X x)+ + 2(x); that depend only on the right tail of the ... chillingsly beanie baby

"WebRisk measures on Orlicz heart spaces @inproceedings{Labuschagne2015RiskMO, title={Risk measures on Orlicz heart spaces}, author={Coenraad C. A. Labuschagne and … " - Risk measures on orlicz hearts

Risk measures on orlicz hearts

Optimal reinsurance under risk and uncertainty on Orlicz hearts

Webmeasures on Orlicz hearts. This includes coherent, convex and monetary risk measures on Lp-spaces for 1 • p < 1 and covers a wide range of interesting examples. Moreover, it … WebJun 1, 2024 · This paper deals with the problem of capital allocation for a peculiar class of risk measures, namely the Haezendonck-Goovaerts (HG) ones (Bellini and Rosazza Gianin, 2008; Goovaerts et al., 2004).To this aim, we generalize the capital allocation rule (CAR) introduced by Xun et al. (2024) for Orlicz risk premia (Haezendonck and Goovaerts, 1982) …

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WebRelative Risk. Relative risk is a ratio of the risks of two groups. In the example described above, it would be the risk of heart attack for a person in their current condition compared to the risk of heart attack if that person were in the normal ranges. However, to truly interpret the severity of a relative risk we have to know the baseline risk. WebApr 10, 2024 · A study that evaluated the sympathetic shift in heart failure patients on BB treatment through HRV measures found that the nonlinear HRV measure of sample entropy was not significantly affected 35.

WebDownloadable (with restrictions)! In this paper, we study the well-known Haezendonck–Goovaerts risk measures on their natural domain, that is on Orlicz spaces and, in particular, on Orlicz hearts. We provide a dual representation as well as the optimal scenario in such a representation and investigate the properties of the minimizer xα∗ (that … WebThis result answers an open problem in the representation theory of risk measures. In the second part of our study, we explore the representation problem for the pair $(H^\Phi,H^\Psi)$. This part compleme...

WebDownloadable! Coherent, convex, and monetary risk measures were introduced in a setup where uncertain outcomes are modeled by bounded random variables. In this paper, we … WebAs an application of our results, we show that transformed norm risk measures on Orlicz hearts admit a natural extension to L 1 that retains robust representations. Keywords: Extension of risk measures ; dilatation monotonicity ; law invariance ; Fatou property ; Orlicz spaces ; transformed norm risk measures ; higher order dual risk measures ; dual …

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WebViscous Hamilton-Jacobi equations in exponential Orlicz hearts with Jonas Blessing Journal de Mathématiques Pures et Appliquées, 163:654-672, 2024. ... Coherent and convex risk measures for bounded cadlag processes with Patrick Cheridito and Freddy Delbaen Stochastic Processes and their Applications, 112(1):1-22, 2004. chilling silenceWebWe need to consider convex risk measures on processes. In preceding study, only bounded processes are treated. In this talk, we consider convex risk measures for unbounded processes in the Orlicz heart framework. Takuji Arai (Keio Univerisity) Convex risk measures for cadl` ag processes` 14, June, 2013 10 / 36. . . . . . chilling shoesWebJul 1, 2024 · The set of priors on Orlicz hearts. We now consider risk measures on Orlicz hearts. Firstly, we briefly review some terminologies in Orlicz spaces. A continuous … chilling short stories