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A composition between risk and deviation measures

The intuition of risk is based on two main concepts: loss and variability. In this paper, we present a composition of risk and deviation measures, which contemplate these two concepts. Based on the proposed Limitedness axiom, we prove that this resulting composition, based on properties of the two components, is a coherent risk measure. Similar results for the cases of convex and co-monotone risk measures are exposed. We also provide examples of known and new risk measures constructed under this framework in order to highlight the importance of our approach, especially the role of the Limitedness axiom.

preprint2018arXivOpen access
Marcelo Brutti Righi
q-fin.RM
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Open access1 author1 topic
Imported metadata coverageMissing code, dataset, citation and institution fields are tracked without dominating the paper.Details
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Marcelo Brutti Righi

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