no code implementations • 16 Jul 2021 • Shengzhong Chen, Niushan Gao, Denny Leung, Lei LI
In the paper we investigate automatic Fatou property of law-invariant risk measures on a rearrangement-invariant function space $\mathcal{X}$ other than $L^\infty$.
no code implementations • 24 Sep 2019 • Niushan Gao, Cosimo Munari, Foivos Xanthos
In addition, we show that Haezendonck-Goovaerts principles satisfy the stronger Lebesgue property if and only if the reference Orlicz function fulfills the so-called $\Delta_2$ condition.
