A1154
Title: Partially law invariant risk measures
Authors: Yi Shen - University of Waterloo (Canada) [presenting]
Zachary Van Oosten - University of Waterloo (Canada)
Ruodu Wang - University of Waterloo (Canada)
Abstract: The aim is to introduce, from a probabilistic point of view, the concept of partial law invariance, generalizing the concept of law-invariant risk measures widely used in statistical and financial applications. Partially law-invariant coherent risk measures via a novel representation formula. A notion of strong partial law invariance is introduced, allowing for a representation formula akin to the classical one. Some classes of new risk measures are also proposed, including partially law-invariant versions of the expected shortfall and the entropic risk measures.
