Angelsberg, Gilles; Delbean, Freddy; Kaelin, Ivo; … - Institut für Schweizerisches Bankwesen <Zürich> - 2007
We consider a class of law-invariant convex risk measures which have a.robust representation of the form ρ(X ) = ...... . The supremum is taken over the set of all Radon Nikodym derivatives corresponding to the set of all probability measures on B(0,1] which are absolutely continuous with...
