4 papers · 1 filter
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…
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…
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…