Chapter 30: Convex risk measures: Basic facts, law-invariance and beyond, asymptotics for large portfolios
This paper provides an introduction to the theory of capital requirements defined by convex risk measures. The emphasis is on robust representations, law-invariant convex risk measures and their robustification in the face of model uncertainty, asymptotics for large portfolios, and on the connections of convex risk measures to actuarial premium principles and robust preferences.