1 résultat pour « SSD-and CSDconsistency »

Law‑Invariant Return and Star‑Shaped Risk Measures

This paper introduces new characterizations for certain types of law-invariant star-shaped functionals, particularly those with stochastic dominance consistency. It establishes Kusuoka-type representations for these functionals, connecting them to Value-at-Risk and Expected Shortfall. The results are versatile and applicable in diverse financial, insurance, and probabilistic settings.