ENTROPIC RISK MEASURES: COHERENCE VS. CONVEXITY, MODEL AMBIGUITY AND ROBUST LARGE DEVIATIONS

DOI10.1142/S0219493711003334zbMath1237.91128MaRDI QIDQ3173994

Thomas Knispel, Hans Föllmer

Publication date: 11 October 2011

Published in: Stochastics and Dynamics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219493711003334

zbMATH Keywords

large deviations; risk measures; model ambiguity; premium principles

Mathematics Subject Classification ID

62P05: Applications of statistics to actuarial sciences and financial mathematics

91B16: Utility theory

60F10: Large deviations

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Cites Work

• On Cramér's theorem for capacities
• On convex principles of premium calculation
• On additive principles of zero utility
• Worst-case large-deviation asymptotics with application to queueing and information theory
• Coherent Measures of Risk
• Robust large deviations performance analysis for large sample detectors
• Some Minimax Theorems.