Star-shaped acceptability indexes

Marcelo Righi ()

Papers from arXiv.org

Abstract: We propose the star-shaped acceptability indexes as generalizations of both the approaches of Cherny and Madan (2009) and Rosazza Gianin and Sgarra (2013) in the same vein as star-shaped risk measures generalize both the classes of coherent and convex risk measures in Castagnoli et al. (2022). We characterize acceptability indexes through star-shaped risk measures, star-shaped acceptance sets, and as the minimum of a family of quasi-concave acceptability indexes. Further, we introduce concrete examples under our approach linked to Value at Risk, risk-adjusted reward on capital, reward-based gain-loss ratio, monotone reward-deviation ratio, and robust acceptability indexes.

Date: 2021-10, Revised 2024-05
New Economics Papers: this item is included in nep-rmg
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Citations: View citations in EconPapers (2)

Published in Insurance Mathematics and Economics, 117, 170-181 (2024)

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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:2110.08630

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