Data di Pubblicazione:
2014
Citazione:
Risk Measures on P(R) and value at risk with probability/loss function / M. Frittelli, M. Maggis, I. Peri. - In: MATHEMATICAL FINANCE. - ISSN 0960-1627. - 24:3(2014), pp. 442-463. [10.1111/mafi.12028]
Abstract:
We propose a generalization of the classical notion of the V@R that takes into account not only the probability of the losses, but the balance between such probability and the amount of the loss. This is obtained by deÖning a new class of law invariant risk measures based on an appropriate family of acceptance sets. The V@R and other known law invariant risk measures turn out to be special cases of our proposal. We further prove the dual representation of Risk Measures on P(R).
Tipologia IRIS:
01 - Articolo su periodico
Keywords:
Value at Risk; distribution functions; quantiles; law invariant risk measures; quasi-convex functions; dual representation
Elenco autori:
M. Frittelli, M. Maggis, I. Peri
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