{"paper":{"title":"Characterization of the minimal penalty of a convex risk measure with applications to Levy processes","license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","headline":"","cross_cats":[],"primary_cat":"math.PR","authors_text":"Daniel Hern\\'andez-Hern\\'andez, Leonel P\\'erez-Hern\\'andez","submitted_at":"2012-05-16T22:28:07Z","abstract_excerpt":"The minimality of the penalization function associated with a convex risk measure is analyzed in this paper. First, in a general static framework, we provide necessary and sufficient conditions for a penalty function defined in a convex and closed subset of the absolutely continuous measures with respect to some reference measure $\\mathbb{P}$ to be minimal. When the probability space supports a L\\'{e}vy process, we establish results that guarantee the minimality property of a penalty function described in terms of the coefficients associated with the density processes. The set of densities pro"},"claims":{"count":0,"items":[],"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"source":{"id":"1205.3827","kind":"arxiv","version":2},"verdict":{"id":null,"model_set":{},"created_at":null,"strongest_claim":"","one_line_summary":"","pipeline_version":null,"weakest_assumption":"","pith_extraction_headline":""},"references":{"count":0,"sample":[],"resolved_work":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57","internal_anchors":0},"formal_canon":{"evidence_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"author_claims":{"count":0,"strong_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"builder_version":"pith-number-builder-2026-05-17-v1"}