29 citations · 65 across the 16 of their papers we have counts for
5 papers · 1 filter
On the extension property of dilatation monotone risk measures
Massoomeh Rahsepar, Foivos Xanthos
Let be a subset of that contains the space of simple random variables and a dilatation monotone func…
Stability properties of Haezendonck-Goovaerts premium principles
Niushan Gao, Cosimo Munari, Foivos Xanthos
We investigate a variety of stability properties of Haezendonck-Goovaerts premium principles on their natural domain, namely Orlicz spaces. We show that such principles always sati…
Closedness of convex sets in Orlicz spaces with applications to dual representation of risk measures
Niushan Gao, Denny H. Leung, Foivos Xanthos
Let be a conjugate pair of Orlicz functions. A set in the Orlicz space is said to be order closed if it is closed with respect to dominated convergence of sequences o…
Option spanning beyond -models
Niushan Gao, Foivos Xanthos
\begin{abstract} The aim of this paper is to study the spanning power of options in a static financial market that allows non-integrable assets. Our findings extend and unify the r…
On the C-property and -representations of risk measures
Niushan Gao, Foivos Xanthos
We identify a large class of Orlicz spaces for which the topology fails the C-property introduced in [7]. We also establish a variant of the C-property and use…