English

Maxitive monetary risk measures: worst-case risk assessment and sharp large deviations

Probability 2025-04-16 v4

Abstract

In decision making under uncertainty and risk, worst-case risk assessments are often conducted using maxitive monetary risk measures. In this article, we study maxitive monetary risk measures on the space L0L^0 of all random variables identified modulo almost sure equality. We prove that a monetary risk measure is maxitive and continuous from below if and only if it is a penalized maximum loss. Furthermore, we characterize the maximum loss as the unique maxitive and law-invariant monetary risk measure. We apply the results to large deviation theory by providing a general criterion to establish a sharp large deviation estimate for sequences of probability measures. We use these findings to provide a formula for the asymptotics of the distortion-exponential insurance premium principle under risk pooling.

Keywords

Cite

@article{arxiv.2211.17245,
  title  = {Maxitive monetary risk measures: worst-case risk assessment and sharp large deviations},
  author = {José Miguel Zapata},
  journal= {arXiv preprint arXiv:2211.17245},
  year   = {2025}
}
R2 v1 2026-06-28T07:18:32.549Z