CORMSIS seminar: The Natural Domain For Law Invariant Risk Functionals Event

Event details

Abstract: This talk addresses risk functionals, which are typically used in finance (insurance and banking), in stochastic optimization and decision theory. While the expectation is nicely defined on L^1, the natural domain of a risk functional is not so immediate. We introduce new Banach spaces, which are generated by the risk functional itself and which naturally constitute the domain spaces. The risk functional is continuous with respect to the norm on the new space. Typically, the new space is strictly larger than an associated L^p space. In addition, we investigate the duals of these space and elaborate its key properties.