Search Results - subject:"Index of qualitative robustness"

Law-invariant risk measures: Extension properties and qualitative robustness

Koch-Medina, Pablo; Munari, Cosimo - In: Statistics & Risk Modeling 31 (2014) 3-4, pp. 215-236

Abstract We characterize when a convex risk measure associated to a law-invariant acceptance set in L ∞ can be extended to L p , $1\le p<\infty $ , preserving finiteness and continuity . This problem is strongly connected to the statistical robustness of the corresponding risk measures....

Persistent link: https://www.econbiz.de/10014621226

Comparative and qualitative robustness for law-invariant risk measures

Krätschmer, Volker; Schied, Alexander; Zähle, Henryk - In: Finance and Stochastics 18 (2014) 2, pp. 271-295

spaces. This concept captures the tradeoff between robustness and sensitivity and can be quantified by an index of … qualitative robustness. By means of this index, we can compare various risk measures, such as distortion risk measures, in regard …

Persistent link: https://www.econbiz.de/10010997061

Comparative and qualitative robustness for law-invariant risk measures

Krätschmer, Volker; Schied, Alexander; Zähle, Henryk - In: Finance and stochastics 18 (2014) 2, pp. 271-295

Persistent link: https://www.econbiz.de/10010340784