Centro de Documentación y Conocimiento de Fundación Mapfre > A Note on continuity and asymptotic consistency of measures of risk and variability

Notas: 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)Registros relacionados: 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 Otras clasificaciones: 6