A note on convex risk statistic

DOI10.1016/j.orl.2012.09.011zbMath1258.91112OpenAlexW2068656816MaRDI QIDQ1939712

Xinli Suo, De-Jian Tian

Publication date: 5 March 2013

Published in: Operations Research Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.orl.2012.09.011

zbMATH Keywords

comonotonic convexitycomonotonic subadditivitydata-based risk measuresrisk statistics

Mathematics Subject Classification ID

Related Items (8)

Multivariate convex risk statistics with scenario analysis ⋮ Multivariate shortfall risk statistics with scenario analysis ⋮ Set-valued risk statistics with scenario analysis ⋮ Capital allocation with multivariate risk statistics with positive homogeneity and subadditivity ⋮ Regulator-based risk statistics with scenario analysis ⋮ Regulator-based risk statistics for portfolios ⋮ Quasiconvex risk statistics with scenario analysis ⋮ Systemic risk statistics with scenario analysis

Cites Work

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• Risk measures with comonotonic subadditivity or convexity and respecting stochastic orders
• The representations of two types of functionals on \(L^\infty(\Omega,\mathcal F)\) and \(L^\infty(\Omega,\mathcal F,\mathbb P)\)
• Axiomatic characterization of insurance prices
• Convex measures of risk and trading constraints
• A note on natural risk statistics
• Coherent Measures of Risk

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