Law-Determined Risk Measures

Cambridge University Press eBooks 2026 Book chapter

View at publisher
Authors: Ilya Molchanov, Johanna F. Ziegel
DOI: 10.1017/9781009710916.008
Cited by: 0

Abstract

Law-determined risk measures assign the same risk to identically distributed random variables. On atomless probability spaces, they are characterized by their minimal penalty functions being law-determined.

Fields of Study & Subjects

Risk and Portfolio Optimization Stochastic processes and financial applications Probability and Statistical Research

Publication details

Journal / source
Cambridge University Press eBooks
Pages
105–114
Publication date
26 February 2026
Language
EN
Document type
Book chapter