4 papers
Risk Measures on Lipschitz Spaces
Henrik Karlholm, Marlon Moresco, Marcelo Righi
This paper develops a theory of monetary risk measures on metric state spaces. We propose the space of Lipschitz functions vanishing at a reference state as a natural domain for fi…
Dual Representation of Robust Risk Measures and Uncertainty Sets
Marlon R. Moresco, Marcelo Righi, Silvana M. Pesenti
We consider robust risk measures that arise as worst-case values of convex risk measures evaluated on uncertainty sets. We characterize continuity properties of robust risk measure…
Set risk measures
Marcelo Righi, Eduardo Horta, Marlon Moresco
We introduce set risk measures (SRMs), real-valued maps defined on the family of non-empty closed bounded sets of essentially bounded random variables. SRMs extend traditional scal…
Constructing elicitable risk measures
Akif Ince, Marlon Moresco, Ilaria Peri +1
We provide a constructive way of defining new elicitable risk measures that are characterised by a multiplicative scoring function. We show that depending on the choice of the scor…