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Maxitive Monetary Risk Measures on Subsets of $L^0$: Worst-Case Risk Assessment and Sharp Large Deviations

https://doi.org/10.2139/ssrn.4827873
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Infinite Dimensional Analysis
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Law invariant risk measures have the Fatou property
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Convexity and Optimization in Banach Spaces
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Idempotent Analysis and Its Applications
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The role of topology in large deviations
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On maxitive integration
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Weakly maxitive set functions and their possibility distributions
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Representation of weakly maxitive monetary risk measures and their rate functions
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Deviations and asymptotic behavior of convex and coherent entropic risk measures for compound Poisson process influenced by jump times
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Sharp estimates of deviations of the sample mean in many dimensions
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A non-exponential extension of Sanov’s theorem via convex duality
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Extended Laplace principle for empirical measures of a Markov chain
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A Course on Large Deviations with an Introduction to Gibbs Measures
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Variational representations of Varadhan functionals
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On Sharp Large Deviations for Sums of Random Vectors and Multidimensional Laplace Approximation
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Convex risk measures: Basic facts, law-invariance and beyond, asymptotics for large portfolios
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ENTROPIC RISK MEASURES: COHERENCE VS. CONVEXITY, MODEL AMBIGUITY AND ROBUST LARGE DEVIATIONS
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Nonexponential Sanov and Schilder theorems on Wiener space: BSDEs, Schrödinger problems and control
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Nonlinear semigroups and limit theorems for convex expectations
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On the Upper Bound for Large Deviations of Sums of I.I.D. Random Vectors
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Stochastic Finance
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Large deviations built on max-stability
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On the representation of weakly maxitive monetary risk measures and their rate functions
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