Fatou property, representations, and extensions of law-invariant risk measures on general Orlicz spaces

Coherent Measures of Risk

Philippe Artzner, Freddy Delbaen, Jean‐Marc Eber et al. · Mathematical Finance · 1999 · 9K citations · Full text

Business, Finance, Risk Management +14

Putting order in risk measures

Marco Frittelli, Emanuela Rosazza Gianin · Journal of Banking & Finance · 2002 · 715 citations

Business, Risk Management, Risk Analysis +8

RISK MEASURES ON ORLICZ HEARTS

Patrick Cheridito, Tianhui Li · Mathematical Finance · 2009 · 221 citations

Business, Finance, Mathematics +12

Comparative and qualitative robustness for law-invariant risk measures

Volker Krätschmer, Alexander Schied, Henryk Zähle · Finance and Stochastics · 2014 · 174 citations

Business, Risk Management, Actuarial Science +13

On convex risk measures on L p -spaces

M. Kaina, Ludger Rüschendorf · Mathematical Methods of Operations Research · 2008 · 159 citations

Natural Sciences, Mathematics, Probability Theory +10