The strong Fatou property of risk measures

Abstract

In this paper, we explore several Fatou-type properties of risk measures. The paper continues to reveal that the strong Fatou property,whichwas introduced in [19], seems to be most suitable to ensure nice dual representations of risk measures. Our main result asserts that every quasiconvex law-invariant functional on a rearrangement invariant space X with the strong Fatou property is (X, L1) lower semicontinuous and that the converse is true on a wide range of rearrangement invariant spaces. We also study inf-convolutions of law-invariant or surplus-invariant risk measures that preserve the (strong) Fatou property.

Keywords

• fatou property
• strong fatou property
• super fatou property
• dual representations
• law-invariant risk measures
• surplus-invariant risk measures
• inf-convolutions
• 91g80
• 46e30
• 46a20