Kusuoka Representation of Higher Order Dual Risk Measures

We derive representations of higher order dual measures of risk in $\mathcal{L}^p$ spaces as suprema of integrals of Average Values at Risk with respect to probability measures on $(0,1]$ (Kusuoka representations). The suprema are taken over convex sets of probability measures. The sets are described by constraints on the dual norms of certain transformations of … Read more