IDEAS home Printed from https://ideas.repec.org/a/rsk/journ4/7956397.html
   My bibliography  Save this article

A theory for combinations of risk measures

Author

Listed:
  • Marcelo Brutti Righi

Abstract

We study combinations of risk measures under no restrictive assumptions on the set of alternatives. We obtain and discuss results regarding the preservation of properties and acceptance sets for these combinations of risk measures. One main result is the representation of risk measures resulting from the properties of both alternative functionals and combination functions. We build on a dual representation for an arbitrary mixture of convex risk measures and obtain a penalty that recalls the notion of inf-convolution under theoretical measure integration. We develop results related to this specific context. We also explore features generated by our frameworks that are of interest in themselves, such as the preservation of continuity properties and the representation of worst-case risk measures.

Suggested Citation

Handle: RePEc:rsk:journ4:7956397
as

Download full text from publisher

File URL: https://www.risk.net/system/files/digital_asset/2023-04/jor_righi_web_final.pdf
Download Restriction: no
---><---

More about this item

Statistics

Access and download statistics

Corrections

All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:rsk:journ4:7956397. See general information about how to correct material in RePEc.

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

We have no bibliographic references for this item. You can help adding them by using this form .

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Thomas Paine (email available below). General contact details of provider: https://www.risk.net/journal-of-risk .

Please note that corrections may take a couple of weeks to filter through the various RePEc services.

IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.