2 papers
q-fin.RM2021
On the link between monetary and star-shaped risk measures
Marlon Moresco, Marcelo Brutti Righi
Recently, Castagnoli et al. (2021) introduce the class of star-shaped risk measures as a generalization of convex and coherent ones, proving that there is a representation as the p…
q-fin.RM2019
Spectral risk measures and uncertainty
Mohammed Berkhouch, Ghizlane Lakhnati, Marcelo Brutti Righi
Risk assessment under different possible scenarios is a source of uncertainty that may lead to concerning financial losses. We address this issue, first, by adapting a robust frame…