Maxitive monetary risk measures: worst-case risk assessment and sharp large deviations

DOI10.1142/S0219493725500145MaRDI QIDQ6987004zbMATH OpenFDO

Authors José Miguel Zapata

Publication date 7 May 2025

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

Full work available at URL https://doi.org/10.1142/S0219493725500145

zbMATH Keywords

distortion-exponential insurance premium principlemaxitive risk measuressharp large deviationsworst-case risk assessment

Mathematics Subject Classification ID

Large deviations (60F10) Statistical methods; risk measures (91G70)

Cites work

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• Representation of weakly maxitive monetary risk measures and their rate functions
• Sharp estimates of deviations of the sample mean in many dimensions
• Stochastic finance. An introduction in discrete time.
• To split or not to split: Capital allocation with convex risk measures

Cited in

(1)

• Sharp large deviation estimates for heavy-tailed extrema

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