6 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…
Ranking Metrics: Extending Acceptability and Performance Indexes
Asmerilda Hitaj, Elisa Mastrogiacomo, Ilaria Peri +1
This paper develops an axiomatic framework for ranking metrics, a general class of functionals for evaluating and ordering financial or insurance positions. Unlike traditional risk…
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…
Robust risk measures: an averaging approach
Marcelo Righi, Rodrigo Targino
We develop an averaging approach to robust risk measurement under payoff uncertainty. Instead of taking a worst-case value over an uncertainty neighborhood, we weight nearby payoff…
A note on robust convex risk measures
Marcelo Righi, Fernanda Müller
In this paper, we refine and generalize closed forms for worst-case law invariant convex risk measures with uncertainty sets based on: i) closed balls under -norms and Wasserste…