Roorda, Berend; Schumacher, J.M. - In: Insurance: Mathematics and Economics 48 (2011) 1, pp. 29-34
Operations which form new risk measures from a collection of given (often simpler) risk measures have been used extensively in the literature. Examples include convex combination, convolution, and the worst-case operator. Here we study the risk measure that is constructed from a family of given...