A composition between risk and deviation measures

DOI10.1007/s10479-018-2913-0zbMath1450.91011arXiv1511.06943OpenAlexW2741605774MaRDI QIDQ2288942

Marcelo Brutti Righi

Publication date: 20 January 2020

Published in: Annals of Operations Research (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1511.06943

zbMATH Keywords

coherent risk measuresconvex risk measuresco-monotone coherent risk measuresgeneralized deviation measureslimitedness

Mathematics Subject Classification ID

Risk models (general) (91B05)

Related Items (9)

Pareto efficient buy and hold investment strategies under order book linked constraints ⋮ On the use of the terminal-value approach in risk-value models ⋮ Law-invariant functionals that collapse to the mean: beyond convexity ⋮ Extended Gini-Type Measures of Risk and Variability ⋮ Minkowski deviation measures ⋮ On a family of coherent measures of variability ⋮ On a robust risk measurement approach for capital determination errors minimization ⋮ A decomposition of general premium principles into risk and deviation ⋮ Star-shaped deviations

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