| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 7354897 | Insurance: Mathematics and Economics | 2017 | 30 Pages |
Abstract
We show how risk measures originally defined in a model free framework in terms of acceptance sets and reference assets imply a meaningful underlying probability structure. Hereafter we construct a maximal domain of definition of the risk measure respecting the underlying ambiguity profile. We particularly emphasise liquidity effects and discuss the correspondence between properties of the risk measure and the structure of this domain as well as subdifferentiability properties.
Keywords
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Felix-Benedikt Liebrich, Gregor Svindland,