Star-shaped deviations

DOI10.1016/J.ORL.2022.08.001MaRDI QIDQ2084035zbMATH OpenOpenAlexFDO

Authors Marcelo Brutti Righi, Marlon Ruoso Moresco

Publication date 17 October 2022

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

Full work available at URL https://arxiv.org/abs/2207.08613

zbMATH Keywords

risk measuresstar-shaped setsacceptance setsdeviation measures

Mathematics Subject Classification ID

Operations research, mathematical programming (90-XX)

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Cites work

• A composition between risk and deviation measures
• A decomposition of general premium principles into risk and deviation
• Characterization, robustness, and aggregation of signed Choquet integrals
• Coherent measures of risk
• Convex measures of risk and trading constraints
• Generalized deviations in risk analysis
• Liquidity risk theory and coherent measures of risk
• Liquidity, risk measures, and concentration of measure
• Maximum entropy principle with general deviation measures
• Modeling, measuring and managing risk
• On the link between monetary and star-shaped risk measures
• Risk aversion in regulatory capital principles
• Star-Shaped Risk Measures
• Stochastic finance. An introduction in discrete time.
• Subdifferential representations of risk measures

Cited in

(3)

• Star-shaped acceptability indexes
• Starlikeness associated with crescent-shaped region
• A note on the induction of comonotonic additive risk measures from acceptance sets

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