A theory for combinations of risk measures
Marcelo Brutti Righi
Papers from arXiv.org
We study combinations of risk measures under no restrictive assumption on the set of alternatives. The main result is the representation for resulting risk measures from the properties of both alternative functionals and combination functions. To that, we develop a representation for a mixture of convex risk measures. As an application, we address the context of probability-based risk measurements based on a functional on the set of distribution functions. We develop results related to this specific context. We also explore features of individual interest generated by our framework, such as the preservation of continuity properties, the representation of worst-case risk measures, stochastic dominance and elicitability.
New Economics Papers: this item is included in nep-rmg
Date: 2018-07, Revised 2019-03
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1) Track citations by RSS feed
Downloads: (external link)
http://arxiv.org/pdf/1807.01977 Latest version (application/pdf)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1807.01977
Access Statistics for this paper
More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().