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math.FA2017★ 4 cited
On Banach spaces of vector-valued random variables and their duals motivated by risk measures
Thomas Kalmes, Alois Pichler
We introduce Banach spaces of vector-valued random variables motivated from mathematical finance. So-called risk functionals are defined in a natural way on these Banach spaces and…
math.FA2013
The Natural Banach Space for Version Independent Risk Measures
Alois Pichler
Risk measures, or coherent measures of risk are often considered on the space L^\infty, and important theorems on risk measures build on that space. Other risk measures, among them…