39 citations · 107 across the 12 of their papers we have counts for
3 papers · 1 filter
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…