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A theory for combinations of risk measures

Marcelo Brutti Righi

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Abstract: 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
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