29 citations · 77 across the 21 of their papers we have counts for
4 papers · 1 filter
Surplus-invariant risk measures
Niushan Gao, Cosimo Munari
This paper presents a systematic study of the notion of surplus invariance, which plays a natural and important role in the theory of risk measures and capital requirements. So far…
Duality for unbounded order convergence and applications
Niushan Gao, Denny H. Leung, Foivos Xanthos
Unbounded order convergence has lately been systematically studied as a generalization of almost everywhere convergence to the abstract setting of vector and Banach lattices. This…
Smallest order closed sublattices and option spanning
Niushan Gao, Denny H. Leung
Let be a sublattice of a vector lattice . We consider the problem of identifying the smallest order closed sublattice of containing . It is known that the analogy wit…
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…