Cash non-additive risk measures: horizon risk and generalized entropy

Giulia Di Nunno and Emanuela Rosazza Gianin

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Abstract: Horizon risk (see arXiv:2301.04971) is studied in the context of cash non-additive fully-dynamic risk measures induced by BSDEs. Furthermore, we introduce a risk measure based on generalized Tsallis entropy which can dynamically evaluate the riskiness of losses considering both horizon risk and interest rate uncertainty. The new q-entropic risk measure on losses can be used as a quantification of capital requirement.

Date: 2024-01, Revised 2024-06
New Economics Papers: this item is included in nep-rmg
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