A composition between risk and deviation measures (Q2288942)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A composition between risk and deviation measures |
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A composition between risk and deviation measures (English)
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20 January 2020
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The paper focuses on a composition of risk and deviation measures, that underlies the concepts of loss and variability, in order to keep required theoretical properties. After introducing basic notations and concepts from the literature, the author presents some results concerning composition of risk and deviation measures under the ``limitedness axiom''. The proposed approach, which is suitable for a wide range of applications, is further developed and clarified by some examples concerning both known and new risk measures.
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coherent risk measures
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generalized deviation measures
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convex risk measures
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co-monotone coherent risk measures
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limitedness
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