2 papers
q-fin.RM2022
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…
q-fin.RM2017
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…