39 citations · 107 across the 12 of their papers we have counts for
15 papers
Optimal hedging with variational preferences under convex risk measures
Marcelo Righi
We expose a theoretical hedging optimization framework with variational preferences under convex risk measures. We explore a general dual representation for the composition between…
A note on the induction of comonotonic additive risk measures from acceptance sets
Samuel Solgon Santos, Marlon Ruoso Moresco, Marcelo Brutti Righi +1
We present simple general conditions on the acceptance sets under which their induced monetary risk and deviation measures are comonotonic additive. We show that acceptance sets in…
The limitations of comonotonic additive risk measures: a literature review
Samuel Solgon Santos, Marcelo Brutti Righi, Eduardo de Oliveira Horta
Risk measures satisfying the axiom of comonotonic additivity are extensively studied, arguably because of the plethora of results indicating interesting aspects of such risk measur…
A risk measurement approach from risk-averse stochastic optimization of score functions
Marcelo Brutti Righi, Fernanda Maria Müller, Marlon Ruoso Moresco
We propose a risk measurement approach for a risk-averse stochastic problem. We provide results that guarantee that our problem has a solution. We characterize and explore the prop…
Star-Shaped deviations
Marcelo Brutti Righi, Marlon Ruoso Moresco
We propose the Star-Shaped deviation measures in the same vein as Star-Shaped risk measures and Star-Shaped acceptability indexes. We characterize Star-Shaped deviation measures th…
Star-shaped acceptability indexes
Marcelo Brutti Righi
We propose the star-shaped acceptability indexes as generalizations of both the approaches of Cherny and Madan (2009) and Rosazza Gianin and Sgarra (2013) in the same vein as star-…
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…
Minkowski gauges and deviation measures
Marlon Moresco, Marcelo Righi, Eduardo Horta
We propose to derive deviation measures through the Minkowski gauge of a given set of acceptable positions. We show that, given a suitable acceptance set, any positive homogeneous…
Inf-convolution and optimal risk sharing with countable sets of risk measures
Marcelo Brutti Righi, Marlon Ruoso Moresco
The inf-convolution of risk measures is directly related to risk sharing and general equilibrium, and it has attracted considerable attention in mathematical finance and insurance…
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…
A theory for combinations of risk measures
Marcelo Brutti Righi
We study combinations of risk measures under no restrictive assumption on the set of alternatives. We develop and discuss results regarding the preservation of properties and accep…
On a robust risk measurement approach for capital determination errors minimization
Marcelo Brutti Righi, Fernanda Maria Müller, Marlon Ruoso Moresco
We propose a robust risk measurement approach that minimizes the expectation of overestimation plus underestimation costs. We consider uncertainty by taking the supremum over a col…
Extended Gini-type measures of risk and variability
Mohammed Berkhouch, Ghizlane Lakhnati, Marcelo Brutti Righi
The aim of this paper is to introduce a risk measure that extends the Gini-type measures of risk and variability, the Extended Gini Shortfall, by taking risk aversion into consider…
A composition between risk and deviation measures
Marcelo Brutti Righi
The intuition of risk is based on two main concepts: loss and variability. In this paper, we present a composition of risk and deviation measures, which contemplate these two conce…
Shortfall Deviation Risk: An alternative to risk measurement
Marcelo Brutti Righi, Paulo Sergio Ceretta
We present the Shortfall Deviation Risk (SDR), a risk measure that represents the expected loss that occurs with certain probability penalized by the dispersion of results that are…