Risk Measures on $\mathcal{P}(\mathbb{R})$ and Value At Risk with Probability/Loss function
Risk Management
2012-09-07 v4 Probability
Abstract
We propose a generalization of the classical notion of the 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 defining a new class of law invariant risk measures based on an appropriate family of acceptance sets. The 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
Cite
@article{arxiv.1201.2257,
title = {Risk Measures on $\mathcal{P}(\mathbb{R})$ and Value At Risk with Probability/Loss function},
author = {Marco Frittelli and Marco Maggis and Ilaria Peri},
journal= {arXiv preprint arXiv:1201.2257},
year = {2012}
}