Complete duality for quasiconvex dynamic risk measures on modules of the $L^p$-type

Abstract

In the conditional setting we provide a complete duality between quasiconvex risk measures defined on $L^0$ modules of the $L^p$ type and the appropriate class of dual functions. This is based on a general result which extends the usual Penot-Volle representation for quasiconvex real valued maps.

References in corpus (2)

• Recent progress in random metric theory and its applications to conditional risk measures
• Risk Measures on $\mathcal{P}(\mathbb{R})$ and Value At Risk with Probability/Loss function

Cited by in corpus (1)

• Conditionally Evenly Convex Sets and Evenly Quasi-Convex Maps