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 de ning 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):
Frittelli, M., Maggis, M., & Peri, I. (2012). Risk Measures on P(R) and Value At Risk with Probability/Loss function [Working paper del dipartimento].
Citazione: | Frittelli, M., Maggis, M., & Peri, I. (2012). Risk Measures on P(R) and Value At Risk with Probability/Loss function [Working paper del dipartimento]. |
Titolo: | Risk Measures on P(R) and Value At Risk with Probability/Loss function |
Autori: | Frittelli, M; Maggis, M; Peri,I |
Autori: | |
Carattere della pubblicazione: | Scientifica |
DCMI: | Working paper del dipartimento |
Data di pubblicazione: | feb-2012 |
Lingua: | English |
Appare nelle tipologie: | 99 - Altro |
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