Related papers: On the C-property and $w^*$-representations of ris…

We provide a variety of results for (quasi)convex, law-invariant functionals defined on a general Orlicz space, which extend well-known results in the setting of bounded random variables. First, we show that Delbaen's representation of…

For a measure space $\Omega$ we extend the theory of Orlicz spaces generated by an even convex integrand $\varphi \colon \Omega \times X \to \left[ 0, \infty \right]$ to the case when the range Banach space $X$ is arbitrary. Besides…

Let $\mathcal{X}$ be a subset of $L^1$ that contains the space of simple random variables $\mathcal{L}$ and $\rho: \mathcal{X} \rightarrow (-\infty,\infty]$ a dilatation monotone functional with the Fatou property. In this note, we show…

In this paper, we explore several Fatou-type properties of risk measures. The paper continues to reveal that the strong Fatou property, which was introduced in [17], seems to be most suitable to ensure nice dual representations of risk…

This paper studies topological duals of Banach function spaces (BFS). We assume a finite measure but our arguments extend to general locally convex function spaces whose topology is generated by seminorms that satisfy the usual BFS axioms.…

Let $(\Phi,\Psi)$ be a conjugate pair of Orlicz functions. A set in the Orlicz space $L^\Phi$ is said to be order closed if it is closed with respect to dominated convergence of sequences of functions. A well known problem arising from the…

Risk measures connect probability theory or statistics to optimization, particularly to convex optimization. They are nowadays standard in applications of finance and in insurance involving risk aversion. This paper investigates a wide…

In the dual $L_{\Phi^*}$ of a $\Delta_2$-Orlicz space $L_\Phi$, that we call a dual Orlicz space, we show that a proper (resp. finite) convex function is lower semicontinuous (resp. continuous) for the Mackey topology…

Let $X$ be a real Banach space and let $Y \subseteq X^*$ be a linear subspace having the Orlicz-Thomas property, that is, for each $\sigma$-algebra $\Sigma$ and for each map $\nu:\Sigma\to X$, the countable additivity of the composition…

The classic Riesz representation theorem characterizes all linear and increasing functionals on the space $C_{c}(X)$ of continuous compactly supported functions. A geometric version of this result, which characterizes all linear increasing…

Let $(\Omega,\Sigma,\mu)$ be a finite measure space, $Z$ be a Banach space and $\nu:\Sigma \to Z^*$ be a countably additive $\mu$-continuous vector measure. Let $X \subseteq Z^*$ be a norm-closed subspace which is norming for $Z$. Write…

Several local geometric properties of Orlicz space $L_\phi$ are presented for an increasing Orlicz function $\phi$ which is not necessarily convex, and thus $L_\phi$ does not need to be a Banach space. In addition to monotonicity of $\phi$…

We generalise the Riesz representation theorems for positive linear functionals on $\mathrm{C}_{\mathrm c}(X)$ and $\mathrm{C}_{\mathrm 0}(X)$, where $X$ is a locally compact Hausdorff space, to positive linear operators from these spaces…

In the paper we investigate automatic Fatou property of law-invariant risk measures on a rearrangement-invariant function space $\mathcal{X}$ other than $L^\infty$. The main result is the following characterization: Every real-valued,…

Geometrically convex functions constitute an interesting class of functions obtained by replacing the arithmetic mean with the geometric mean in the definition of convexity. As recently suggested, geometric convexity may be a sensible…

Let $X$ be a Banach lattice. A well-known problem arising from the theory of risk measures asks when order closedness of a convex set in $X$ implies closedness with respect to the topology $\sigma(X,X_n^\sim)$, where $X_n^\sim$ is the order…

A Banach space X has Pelczynski's property (V) if for every Banach space Y every unconditionally converging operator T: X -> Y is weakly compact. H. Pfitzner proved that C*-algebras have Pelczynski's property (V). In the preprint "H.…

The purpose of this paper is devoted to studying representation of measures of non generalized compactness, in particular, measures of noncompactness, of non-weak compactness, and of non-super weak compactness, etc, defined on Banach spaces…

Given a strictly increasing, continuous function $\vartheta:\R_+\to\R_+$, based on the cost functional $\int_{X\times X}\vartheta(d(x,y))\,d q(x,y)$, we define the $L^\vartheta$-Wasserstein distance $W_\vartheta(\mu,\nu)$ between…

This paper presents a systematic study of the notion of surplus invariance, which plays a natural and important role in the theory of risk measures and capital requirements. So far, this notion has been investigated in the setting of some…