Set-valued star-shaped risk measures (Q6960209)
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scientific article; zbMATH DE number 8062926
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| English | Set-valued star-shaped risk measures |
scientific article; zbMATH DE number 8062926 |
Statements
Set-valued star-shaped risk measures (English)
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14 July 2025
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The authors introduce set-valued star-shaped risk measures and investigate the representation theorems in the set-valued framework. The name ``star-shaped'' is mainly expressed through the set of acceptable positions and means that for any point in a set of star-shaped, its connection to the origin is included in the set.\N\NIt is demonstrated that set-valued risk measures can be represented as the union of a family of set-valued convex risk measures, and set-valued normalized star-shaped risk measures can be represented as the union of a family of set-valued normalized convex risk measures. The relationship between set-valued risk measures and set-valued star-shaped risk measures is established.
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set-valued risk measure
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set-valued star-shaped risk measure
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set-valued convex risk measure
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representation theorem
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