7 citations · 7 across the 9 of their papers we have counts for
11 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…
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…
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…
Uncertainty Propagation and Dynamic Robust Risk Measures
Marlon Moresco, Mélina Mailhot, Silvana M. Pesenti
We introduce a framework for quantifying propagation of uncertainty arising in a dynamic setting. Specifically, we define dynamic uncertainty sets designed explicitly for discrete…
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…
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…
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…