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Uniqueness of Kusuoka Representations

Author

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  • Alois Pichler
  • Alexander Shapiro

Abstract

This paper addresses law invariant coherent risk measures and their Kusuoka representations. By elaborating the existence of a minimal representation we show that every Kusuoka representation can be reduced to its minimal representation. Uniqueness -- in a sense specified in the paper -- of the risk measure's Kusuoka representation is derived from this initial result. Further, stochastic order relations are employed to identify the minimal Kusuoka representation. It is shown that measures in the minimal representation are extremal with respect to the order relations. The tools are finally employed to provide the minimal representation for important practical examples. Although the Kusuoka representation is usually given only for nonatomic probability spaces, this presentation closes the gap to spaces with atoms.

Suggested Citation

  • Alois Pichler & Alexander Shapiro, 2012. "Uniqueness of Kusuoka Representations," Papers 1210.7257, arXiv.org, revised Feb 2013.
    • Handle: RePEc:arx:papers:1210.7257
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    References listed on IDEAS

    as
    1. Andrzej Ruszczyński & Alexander Shapiro, 2006. "Optimization of Convex Risk Functions," Mathematics of Operations Research, INFORMS, vol. 31(3), pages 433-452, August.
    2. Georg Ch Pflug & Werner Römisch, 2007. "Modeling, Measuring and Managing Risk," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 6478, October.
    3. Elyès Jouini & Walter Schachermayer & Nizar Touzi, 2006. "Law Invariant Risk Measures Have the Fatou Property," Post-Print halshs-00176522, HAL.
    4. Darinka Dentcheva & Spiridon Penev & Andrzej Ruszczyński, 2010. "Kusuoka representation of higher order dual risk measures," Annals of Operations Research, Springer, vol. 181(1), pages 325-335, December.
    5. Philippe Artzner & Freddy Delbaen & Jean‐Marc Eber & David Heath, 1999. "Coherent Measures of Risk," Mathematical Finance, Wiley Blackwell, vol. 9(3), pages 203-228, July.
    6. repec:dau:papers:123456789/342 is not listed on IDEAS
    7. Rose‐Anne Dana, 2005. "A Representation Result For Concave Schur Concave Functions," Mathematical Finance, Wiley Blackwell, vol. 15(4), pages 613-634, October.
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    Citations

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    Cited by:

    1. Nilay Noyan & Gábor Rudolf, 2015. "Kusuoka representations of coherent risk measures in general probability spaces," Annals of Operations Research, Springer, vol. 229(1), pages 591-605, June.
    2. Kerem Ugurlu, 2014. "On the Coherent Risk Measure Representations in the Discrete Probability Spaces," Papers 1411.4441, arXiv.org, revised Dec 2014.
    3. Pichler, Alois, 2013. "The natural Banach space for version independent risk measures," Insurance: Mathematics and Economics, Elsevier, vol. 53(2), pages 405-415.
    4. Bellini, Fabio & Klar, Bernhard & Müller, Alfred & Rosazza Gianin, Emanuela, 2014. "Generalized quantiles as risk measures," Insurance: Mathematics and Economics, Elsevier, vol. 54(C), pages 41-48.
    5. Johanna F. Ziegel, 2013. "Coherence and elicitability," Papers 1303.1690, arXiv.org, revised Mar 2014.

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