Qualitative robustness of utility-based risk measures

We contribute to the literature on statistical robustness of risk measures by computing the index of qualitative robustness for risk measures based on utility functions. This problem is intimately related to finding the natural domain of finiteness and continuity of such risk measures.

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Bibliographic Details
Published inAnnals of operations research Vol. 336; no. 1-2; pp. 967 - 980
Main Authors Koch-Medina, Pablo, Munari, Cosimo
Format Journal Article
LanguageEnglish
Published New York Springer US 01.05.2024
Springer Nature B.V
Subjects
Business and Management
Combinatorics
Expected utility
Financial institutions
Operations research
Operations Research/Decision Theory
Original Research
Probability distribution
Random variables
Risk
Robustness
Theory of Computation
Utility functions
Qualitative robustness
Continuity
Utility functions
Risk measures
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Summary:We contribute to the literature on statistical robustness of risk measures by computing the index of qualitative robustness for risk measures based on utility functions. This problem is intimately related to finding the natural domain of finiteness and continuity of such risk measures.
Bibliography:ObjectType-Article-1
SourceType-Scholarly Journals-1
ObjectType-Feature-2
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ISSN:0254-5330
1572-9338
DOI:10.1007/s10479-022-04885-z