A composition between risk and deviation measures
From MaRDI portal
Publication:2288942
Abstract: The intuition of risk is based on two main concepts: loss and variability. In this paper, we present a composition of risk and deviation measures, which contemplate these two concepts. Based on the proposed Limitedness axiom, we prove that this resulting composition, based on properties of the two components, is a coherent risk measure. Similar results for the cases of convex and co-monotone risk measures are exposed. We also provide examples of known and new risk measures constructed under this framework in order to highlight the importance of our approach, especially the role of the Limitedness axiom.
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.
Recommendations
- A representation of risk measures
- Marginal Decomposition of Risk Measures
- scientific article; zbMATH DE number 1918603
- Risk Measures and Comonotonicity: A Review
- Parametric measures of variability induced by risk measures
- Risk measures, distortion parameters, and their empirical estimation
- A composite risk measure framework for decision making under uncertainty
- On two estimates of a risk measure
- Risk measures in the form of infimal convolution
- A decomposition of general premium principles into risk and deviation
Cites work
- Characterization, robustness, and aggregation of signed Choquet integrals
- Coherent measures of risk
- Continuity properties of law-invariant (quasi-)convex risk functions on \(L^{\infty}\)
- Convex measures of risk and trading constraints
- Extended Gini-type measures of risk and variability
- External risk measures and Basel accords
- From stochastic dominance to mean-risk models: Semideviations as risk measures
- Generalized deviations in risk analysis
- Higher moment coherent risk measures
- scientific article; zbMATH DE number 1788883 (Why is no real title available?)
- scientific article; zbMATH DE number 1795842 (Why is no real title available?)
- Kusuoka representation of higher order dual risk measures
- Kusuoka representations of coherent risk measures in general probability spaces
- Law invariant convex risk measures
- Law invariant risk measures have the Fatou property
- Maximum entropy principle with general deviation measures
- Monotone and cash-invariant convex functions and hulls
- On convex risk measures on \(L^{p}\)-spaces
- On the dual representation of coherent risk measures
- On the worst conditional expectation.
- Risk capital allocation by coherent risk measures based on one-sided moments.
- Stochastic orders and risk measures: consistency and bounds
- Subdifferential representations of risk measures
- Tail Variance Premium with Applications for Elliptical Portfolio of Risks
Cited in
(16)- Star-shaped deviations
- Pareto efficient buy and hold investment strategies under order book linked constraints
- On the use of the terminal-value approach in risk-value models
- Law-invariant functionals that collapse to the mean: beyond convexity
- On a family of coherent measures of variability
- On a robust risk measurement approach for capital determination errors minimization
- A decomposition of general premium principles into risk and deviation
- Generalized deviations in risk analysis
- Minkowski deviation measures
- Extended Gini-type measures of risk and variability
- On the General Deviation Measure and the Gini coefficient
- A note on the induction of comonotonic additive risk measures from acceptance sets
- Inf-convolution and optimal risk sharing with countable sets of risk measures
- Range-based risk measures and their applications
- Star-shaped acceptability indexes
- Computational analysis of expectile and deviation expectile portfolio optimization models
This page was built for publication: A composition between risk and deviation measures
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2288942)
