[Keyword: Continuity] AND [All Categories: Mathematical Finance / Quantitative Finance] : Search

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[in Journal: International Journal of Wavelets, Multiresolution and Information Pro... (1)	13 Mar 2025	Run
[Keyword: Kinematics] AND [All Categories: Medicine] (42)	13 Mar 2025	Run
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[Keyword: Continuity] AND [All Categories: Mathematical Finance / Quantitative Fina... (1)	13 Mar 2025	Run

chapterNo Access
ON THE PENALTY FUNCTION AND ON CONTINUITY PROPERTIES OF RISK MEASURES
- MARCO FRITTELLI and
- EMANUELA ROSAZZA GIANIN
Finance at Fields10 Sep 2012
Preview Abstract
We discuss two issues about risk measures: we first point out an alternative interpretation of the penalty function in the dual representation of a risk measure; then we analyze the continuity properties of comonotone convex risk measures. In particular, due to the loss of convexity, local and global continuity are no more equivalent and many implications true for convex risk measures do not hold any more.

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