Set-valued star-shaped risk measures

DOI10.1007/S11579-025-00384-4MaRDI QIDQ6960209zbMATH OpenFDO

Authors Bingchu Nie, Dejian Tian, Long Jiang

Publication date 14 July 2025

Published in Mathematics and Financial Economics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/S11579-025-00384-4

zbMATH Keywords

representation theoremset-valued convex risk measureset-valued risk measureset-valued star-shaped risk measure

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

Review text

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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Cited in

(1)

• Monotonic mean-deviation risk measures

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