A Note on Natural Risk Statistics, OWA Operators and Generalized Gini Functions

Marta Cardin

A chapter in Mathematical and Statistical Methods for Actuarial Sciences and Finance, 2014, pp 57-60 from Springer

Abstract: Abstract The notion of risk measure arose from the problem of quantifying risk. The coherent risk measures and the insurance risk measures are risk measures that satisfy a set of axioms. In this note we consider a different approach to risk measurement and we study natural risk statistics that are based on data and that are characterized by a new set of axioms. In this paper we consider the relationship between risk measurement and aggregation theory.

Keywords: Risk measure; Coherent risk measure; Natural risk statistic; Gini index (search for similar items in EconPapers)
Date: 2014
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-319-05014-0_13

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DOI: 10.1007/978-3-319-05014-0_13

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