Section: Articles Title: A Note on continuity and asymptotic consistency of measures of risk and variability / Niushan Gao and Foivos XanthosAuthor: Gao, Niushan Notes: Sumario: They show that every convex, order-bounded above functional on a Fréchet lattice is automatically continuous. This improves a result in Ruszczynski and Shapiro ((2006) Mathematics of Operations Research 31(3), 433452.) and applies to many deviation and variability measures. We also show that an order-continuous, law-invariant functional on an Orlicz space is strongly consistent everywhere, extending a result in Krätschmer et al (2017) Finance and Stochastics 18(2), 271295)Related records: En: Astin bulletin. - Belgium : ASTIN and AFIR Sections of the International Actuarial Association = ISSN 0515-0361. - 29/01/2025 Volume 55 Issue 1 - January 2025 , p. 168-177Materia / lugar / evento: Matemática del seguro Análisis multivariante Cálculo actuarial Cálculo integral Otros autores: Xanthos, Foivos International Actuarial Association Other categories: 6 Rights: In Copyright (InC)
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