A composition between risk and deviation measures

Marcelo Righi (marcelo.righi@ufrgs.br)

Papers from arXiv.org

Abstract: The intuition of risk is based on two main concepts: loss and variability. In this paper, we present a composition of risk and deviation measures, which contemplate these two concepts. Based on the proposed Limitedness axiom, we prove that this resulting composition, based on properties of the two components, is a coherent risk measure. Similar results for the cases of convex and co-monotone risk measures are exposed. We also provide examples of known and new risk measures constructed under this framework in order to highlight the importance of our approach, especially the role of the Limitedness axiom.

Date: 2015-11, Revised 2018-05
New Economics Papers: this item is included in nep-cba and nep-rmg
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Citations: View citations in EconPapers (4)

Published in Annals of Operations Research (2019) 282, 299-313

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http://arxiv.org/pdf/1511.06943 Latest version (application/pdf)

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Journal Article: A composition between risk and deviation measures (2019)
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1511.06943

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