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Risk Measures On Orlicz Hearts

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  • Patrick Cheridito
  • Tianhui Li

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 monetary risk measures on Lp‐spaces for 1 ≤p

Suggested Citation

  • Patrick Cheridito & Tianhui Li, 2009. "Risk Measures On Orlicz Hearts," Mathematical Finance, Wiley Blackwell, vol. 19(2), pages 189-214, April.
    • Handle: RePEc:bla:mathfi:v:19:y:2009:i:2:p:189-214
    DOI: 10.1111/j.1467-9965.2009.00364.x
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    References listed on IDEAS

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