Quantifying the degree of risk aversion of spectral risk measures
Risk Management
2026-05-14 v3 Optimization and Control
Abstract
I propose a functional on the space of spectral risk measures that quantifies their ``degree of risk aversion''. This quantification formalizes the idea that some risk measures are ``more risk-averse'' than others. I construct the functional using two axioms: a normalization on the space of CVaRs and a linearity axiom. I present two formulas for the functional and discuss several properties and interpretations.
Cite
@article{arxiv.2408.15675,
title = {Quantifying the degree of risk aversion of spectral risk measures},
author = {E. Ruben van Beesten},
journal= {arXiv preprint arXiv:2408.15675},
year = {2026}
}
Comments
9 pages Minor update