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A Boolean valued analysis approach to conditional risk
- 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.
- Subjects :
- Mathematics - Functional Analysis
03C90, 46H25, 91B30
Subjects
Details
- Database :
- arXiv
- Journal :
- Vladikavkaz Mathematical Journal 21(4), 2019
- Publication Type :
- Report
- Accession number :
- edsarx.1711.09833
- Document Type :
- Working Paper