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A Boolean valued analysis approach to conditional risk

Authors :
Zapata, José Miguel
Source :
Vladikavkaz Mathematical Journal 21(4), 2019
Publication Year :
2017

Abstract

By means of the techniques of Boolean valued analysis, we provide a transfer principle between duality theory of classical convex risk measures and duality theory of conditional risk measures. Namely, a conditional risk measure can be interpreted as a classical convex risk measure inside of a suitable set-theoretic model. As a consequence, many properties of a conditional risk measure can be interpreted as basic properties of convex risk measures. This amounts to a method to interpret a theorem of dual representation of convex risk measures as a new theorem of dual representation of conditional risk measures. As an instance of application, we establish a general robust representation theorem for conditional risk measures and study different particular cases of it.

Details

Database :
arXiv
Journal :
Vladikavkaz Mathematical Journal 21(4), 2019
Publication Type :
Report
Accession number :
edsarx.1711.09833
Document Type :
Working Paper