An Ordinal Approach to Risk Measurement

Marta Cardin and Miguel Couceiro ()
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Miguel Couceiro: Mathematics Research Unit, University of Luxembourg

No 200, Working Papers from Department of Applied Mathematics, Università Ca' Foscari Venezia

Abstract: In this short note, we aim at a qualitative framework for modeling multivariate risk. To this extent, we consider completely distributive lattices as underlying universes, and make use of lattice functions to formalize the notion of risk measure. Several properties of risk measures are translated into this general setting, and used to provide axiomatic characterizations. Moreover, a notion of quantile of a lattice-valued random variable is proposed, which shown to retain several desirable properties of its real-valued counterpart.

Keywords: lattice; risk measure; Sugeno integral; quantile. (search for similar items in EconPapers)
JEL-codes: C02 C40 (search for similar items in EconPapers)
Pages: 11 pages
Date: 2010-09
New Economics Papers: this item is included in nep-ban, nep-fmk and nep-rmg
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