A risk measurement approach from risk-averse stochastic optimization of score functions

Marcelo Brutti Righi, Fernanda Maria Müller and Marlon Ruoso Moresco

Insurance: Mathematics and Economics, 2025, vol. 120, issue C, 42-50

Abstract: We propose a risk measurement approach for a risk-averse stochastic problem. We provide results that guarantee the existence of a solution to our problem. We characterize and explore the properties of the argmin as a risk measure and the minimum as a generalized deviation measure. We provide an example to demonstrate a specific application of our approach. Additionally, we present a numerical example of the problem's solution to illustrate the usefulness of our approach in risk management analysis.

Keywords: Risk management; Uncertainty modeling; Risk measures; Deviation measures; Robust stochastic programming (search for similar items in EconPapers)
Date: 2025
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Persistent link: https://EconPapers.repec.org/RePEc:eee:insuma:v:120:y:2025:i:c:p:42-50

DOI: 10.1016/j.insmatheco.2024.11.005

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