Subgradients of Law-Invariant Convex Risk Measures on L1

We introduce a generalised subgradient for law-invariant closed convex risk measures on L1 and establish its relationship with optimal risk allocations and equilibria. Our main result gives sufficient conditions ensuring a non-empty generalised subgradient.


Published in:
Statistics & Decisions, 27, 169-199
Year:
2009
Keywords:
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 Record created 2010-05-16, last modified 2018-03-17

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