Monotone and Cash-Invariant Convex Functions and Hulls

This paper provides some useful results for convex risk measures. In fact, we consider convex functions on a locally convex vector space E which are monotone with respect to the preference relation implied by some convex cone and invariant with respect to some numeraire (“cash”). As a main result, for any function f, we find the greatest closed convex monotone and cash-invariant function majorized by f. We then apply our results to some well-known risk measures and problems arising in connection with insurance regulation


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Insurance: Mathematics and Economics, 41, 1-16
Year:
2007
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 Record created 2013-08-12, last modified 2018-01-28

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