Law-invariant return and star-shaped risk measures

DOI10.1016/J.INSMATHECO.2024.04.006MaRDI QIDQ6573820zbMATH OpenFDO

Authors Roger J. A. Laevent, Emanuela Rosazza Gianin, Marco Zullino

Publication date 17 July 2024

Published in Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/J.INSMATHECO.2024.04.006

zbMATH Keywords

expected shortfalllaw-invariancereturn risk measuresSSD- and CSD-consistencystar-shapednessvalue-at-risk

Mathematics Subject Classification ID

Actuarial mathematics (91G05) Statistical methods; risk measures (91G70)

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Cited in

(6)

• Star-shaped acceptability indexes
• Monotonic mean-deviation risk measures
• Stochastic orderings for set-valued risk measures
• Risk measures on Musielak-Orlicz spaces: a state-dependent perspective for insurance
• Multi-asset return risk measures
• Set-valued star-shaped risk measures

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