Risk measures with the CxLS property

In the present contribution, we characterise law determined convex risk measures that have convex level sets at the level of distributions. By relaxing the assumptions in Weber (Math. Finance 16:419–441, 2006), we show that these risk measures can be identified with a class of generalised shortfall risk measures. As a direct consequence, we are able to extend the results in Ziegel (Math. Finance, 2014, http://onlinelibrary.wiley.com/doi/10.1111/mafi.12080/abstract) and Bellini and Bignozzi (Quant. Finance 15:725–733, 2014) on convex elicitable risk measures and confirm that expectiles are the only elicitable coherent risk measures. Further, we provide a simple characterisation of robustness for convex risk measures in terms of a weak notion of mixture continuity.

On the Density and the Volume Density Property

This article gives a short introduction into the notions of density property (DP) and volume density property (VDP). Moreover we develop an effective criterion of verifying whether a given X has VDP. As an application of this method we give a new proof of the basic fact that the product of two Stein manifolds with VDP admits VDP.

The algebraic density property for affine toric varieties

In this paper we generalize the algebraic density property to not necessarily smooth affine varieties relative to some closed subvariety containing the singular locus. This property implies the remarkable approximation results for holomorphic automorphisms of the Andersén–Lempert theory. We show that an affine toric variety X satisfies this algebraic density property relative to a closed T-invariant subvariety Y if and only if X∖Y≠TX∖Y≠T. For toric surfaces we are able to classify those which possess a strong version of the algebraic density property (relative to the singular locus). The main ingredient in this classification is our proof of an equivariant version of Brunella's famous classification of complete algebraic vector fields in the affine plane.