Qualitative robustness of utility-based risk measures

Pablo Koch-Medina () and Cosimo Munari ()
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Pablo Koch-Medina: University of Zurich
Cosimo Munari: University of Zurich

Annals of Operations Research, 2024, vol. 336, issue 1, No 32, 967-980

Abstract: Abstract We contribute to the literature on statistical robustness of risk measures by computing the index of qualitative robustness for risk measures based on utility functions. This problem is intimately related to finding the natural domain of finiteness and continuity of such risk measures.

Keywords: Risk measures; Utility functions; Qualitative robustness; Continuity (search for similar items in EconPapers)
Date: 2024
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DOI: 10.1007/s10479-022-04885-z

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