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q-fin.RM2026
Robust quasi-convex risk measures and applications
Francesca Centrone, Asmerilda Hitaj, Elisa Mastrogiacomo +1
This paper develops a unified framework for the robustification of risk measures beyond the classical convex and cash-additive setting. We consider general risk measures on Lp spac…
q-fin.RM2024
Cash non-additive risk measures: horizon risk and generalized entropy
Giulia Di Nunno, Emanuela Rosazza Gianin
Horizon risk (see arXiv:2301.04971) is studied in the context of cash non-additive fully-dynamic risk measures induced by BSDEs. Furthermore, we introduce a risk measure based on g…