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math.PR2022
Maxitive monetary risk measures: worst-case risk assessment and sharp large deviations
José Miguel Zapata
In decision making under uncertainty and risk, worst-case risk assessments are often conducted using maxitive monetary risk measures. In this article, we study maxitive monetary ri…
math.FA2022★ 1 cited
On the representation of weakly maxitive monetary risk measures and their rate functions
José Miguel Zapata
The present paper provides a representation result for monetary risk measures (i.e., monotone translation invariant functionals) satisfying a weak maxitivity property. This result…