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• W3155154908 abstract "In this paper, we show that the basic results in large deviations theory hold for general monetary risk measures, which satisfy the crucial property of max-stability. A max-stable monetary risk measure fulfills a lattice homomorphism property, and satisfies under a suitable tightness condition the Laplace Principle (LP), that is, admits a dual representation with affine convex conjugate. By replacing asymptotic concentration of probability by concentration of risk, we formulate a Large Deviation Principle (LDP) for max-stable monetary risk measures, and show its equivalence to the LP. In particular, the special case of the asymptotic entropic risk measure corresponds to the classical Varadhan–Bryc equivalence between the LDP and LP. The main results are illustrated by the asymptotic shortfall risk measure." @default.
• W3155154908 created "2021-04-26" @default.
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• W3155154908 creator A5089523092 @default.
• W3155154908 date "2021-05-01" @default.
• W3155154908 modified "2023-09-27" @default.
• W3155154908 title "Large deviations built on max-stability" @default.
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• W3155154908 doi "https://doi.org/10.3150/20-bej1263" @default.
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