29 citations · 65 across the 16 of their papers we have counts for
4 papers · 1 filter
On Prudence of Risk Measures
Niushan Gao, Denny H. Leung, Foivos Xanthos
Prudence is a stability property of risk functionals recently introduced by Wang and Zitikis and subsequently studied by Amarante and Liebrich. In this paper, we first establish ge…
A note on continuity and asymptotic consistency of measures of risk and variability
Niushan Gao, Foivos Xanthos
In this short note, we show that every convex, order bounded above functional on a Frechet lattice is automatically norm continuous. This improves a result in \cite{RS06} and appli…
The strong Fatou property of risk measures
Shengzhong Chen, Niushan Gao, Foivos Xanthos
In this paper, we explore several Fatou-type properties of risk measures. The paper continues to reveal that the strong Fatou property, which was introduced in [17], seems to be mo…
Fatou Property, representations, and extensions of law-invariant risk measures on general Orlicz spaces
Niushan Gao, Denny H. Leung, Cosimo Munari +1
We provide a variety of results for (quasi)convex, law-invariant functionals defined on a general Orlicz space, which extend well-known results in the setting of bounded random var…