Bot, Radu Ioan ; Lorenz, Nicole ; Wanka, Gert : Some formulas for the conjugate of convex risk measures

Author(s):

Bot, Radu Ioan
Lorenz, Nicole
Wanka, Gert

Title:

Some formulas for the conjugate of convex risk measures

Electronic source:

application/pdf

Preprint series:

Technische Universität Chemnitz, Fakultät für Mathematik (Germany). Preprint 19, 2006

Mathematics Subject Classification:

90C15			[ Stochastic programming ]
49N15			[ Duality theory ]
91B30			[ Risk theory, insurance ]

Abstract:

The aim of this paper is to give formulas for the conjugate functions of different convex risk measures. To this end we use, on the one hand, some classical results from convex analysis and, on the other hand, some tools from the conjugate duality theory. The characterizations of the so-called deviation measures recently given in the literature (see [8]) follow immediately from our results as natural consequences.

Keywords:

conjugate functions, conjugate duality, convex risk measures, convex deviation measures

Language:

English

Publication time:

11 / 2006