Related papers: Star-Shaped deviations
We propose the star-shaped acceptability indexes as generalizations of both the approaches of Cherny and Madan (2009) and Rosazza Gianin and Sgarra (2013) in the same vein as star-shaped risk measures generalize both the classes of coherent…
In this paper, we introduce a new class of set-valued risk measures, named set-valued star-shaped risk measures. Motivated by the results of scalar monetary and star-shaped risk measures, this paper investigates the representation theorems…
In this paper monetary risk measures that are positively superhomogeneous, called star-shaped risk measures, are characterized and their properties studied. The measures in this class, which arise when the controversial subadditivity…
Recently, Castagnoli et al. (2021) introduce the class of star-shaped risk measures as a generalization of convex and coherent ones, proving that there is a representation as the pointwise minimum of some family composed by convex risk…
Motivated by the results of static monetary or star-shaped risk measures, the paper investigates the representation theorems in the dynamic framework. We show that dynamic monetary risk measures can be represented as the lower envelope of a…
Mean-deviation models, along with the existing theory of coherent risk measures, are well studied in the literature. In this paper, we characterize monotonic mean-deviation (risk) measures from a general mean-deviation model by applying a…
This paper establishes characterization results for dynamic return and star-shaped risk measures induced via backward stochastic differential equations (BSDEs). We first characterize a general family of static star-shaped functionals in a…
In the literature on risk measures, cash subadditivity was proposed to replace cash additivity, motivated by the presence of stochastic or ambiguous interest rates and defaultable contingent claims. Cash subadditivity has been traditionally…
This paper presents novel characterization results for classes of law-invariant star-shaped functionals. We begin by establishing characterizations for positively homogeneous and star-shaped functionals that exhibit second- or convex-order…
In this article we propose a generalization of the 2-dimensional notions of convexity resp. being star-shaped to symplectic vector spaces. We call such curves symplectically convex resp. symplectically star-shaped. After presenting some…
This paper introduces and fully characterizes the novel class of quasi-logconvex measures of risk, to stand on equal footing with the rich class of quasi-convex measures of risk. Quasi-logconvex risk measures naturally generalize logconvex…
We introduce a class of convex equivolume partitions. Expected star discrepancy results are compared for stratified samples under these partitions, including simple random samples. There are four main parts of our results. First, among…
This paper gives an overview of the theory of dynamic convex risk measures for random variables in discrete time setting. We summarize robust representation results of conditional convex risk measures, and we characterize various time…
We characterize when a convex risk measure associated to a law-invariant acceptance set in $L^\infty$ can be extended to $L^p$, $1\leq p<\infty$, preserving finiteness and continuity. This problem is strongly connected to the statistical…
This paper approaches the definition and properties of dynamic convex risk measures through the notion of a family of concave valuation operators satisfying certain simple and credible axioms. Exploring these in the simplest context of a…
We propose a risk measurement approach for a risk-averse stochastic problem. We provide results that guarantee that our problem has a solution. We characterize and explore the properties of the argmin as a risk measure and the minimum as a…
We present a new algorithm for estimating the star discrepancy of arbitrary point sets. Similar to the algorithm for discrepancy approximation of Winker and Fang [SIAM J. Numer. Anal. 34 (1997), 2028--2042] it is based on the optimization…
We establish a novel criterion for comparing the performance of two densities, $g_1$ and $g_2$, within the context of corrupted data. Utilizing this criterion, we propose an algorithm to construct a density estimator within a star-shaped…
We propose to derive deviation measures through the Minkowski gauge of a given set of acceptable positions. We show that, given a suitable acceptance set, any positive homogeneous deviation measure can be accommodated in our framework. In…
In the present contribution we characterize law determined convex risk measures that have convex level sets at the level of distributions. By relaxing the assumptions in Weber (2006), we show that these risk measures can be identified with…