On Kusuoka representation of law invariant risk measures

Published: 2011/09/15, Updated: 2012/05/14

Finance and Economics, Stochastic Programming average value at risk, coherent risk measures, comonotonic risk measures, fenchel-moreau theorem, law invariance Short URL: https://optimization-online.org/?p=11716

In this paper we discuss representations of law invariant coherent risk measures in a form of integrals of the Average Value-at-Risk measures. We show that such integral representation exists iff the dual set of the considered risk measure is generated by one of its elements, and this representation is uniquely defined. On the other hand, representation of risk measures as maximum of such integral forms is not unique.

On Kusuoka representation of law invariant risk measures

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