Quantifying the degree of risk aversion of spectral risk measures

E. Ruben van Beesten

Papers from arXiv.org

Abstract: I propose a functional on the space of spectral risk measures that quantifies their ``degree of risk aversion''. This quantification formalizes the idea that some risk measures are ``more risk-averse'' than others. I construct the functional using two axioms: a normalization on the space of CVaRs and a linearity axiom. I present two formulas for the functional and discuss several properties and interpretations.

Date: 2024-08, Revised 2024-08
New Economics Papers: this item is included in nep-rmg and nep-upt
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