Law invariant convex risk measures.

Authors :: Kusuoka, Shigeo
Yamazaki, Akira
Anderson, Robert
Castaing, Charles
Clarke, Frank H.
Debreu, Gérard
Dierker, Egbert
Duffie, Darrell
Evans, Lawrence C.
Fujimoto, Takao
Grandmont, Jean-Michel
Hirano, Norimichi
Hurwicz, Leonid
Ichiishi, Tatsuro
Ioffe, Alexander
Iwamoto, Seiichi
Kamiya, Kazuya
Kawamata, Kunio
Kikuchi, Norio
Matano, Hiroshi
Source :: Advances in Mathematical Economics; 2005, p33-46, 14p
Publication Year :: 2005
Abstract: As a generalization of a result by Kusuoka (2001), we provide the representation of law invariant convex risk measures. Very particular cases of law invariant coherent and convex risk measures are also studied. [ABSTRACT FROM AUTHOR]

Subjects :: MATHEMATICAL economics
ECONOMICS methodology
ECONOMETRICS
BESSEL functions
ECONOMICS

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