Quantifying the degree of risk aversion of spectral risk measures
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arXiv
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| Format: | Preprint |
| Veröffentlicht: |
2024
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| _version_ | 1866914561829896192 |
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| author | van Beesten, E. Ruben |
| author_facet | van Beesten, E. Ruben |
| contents | I propose a functional on the space of spectral risk measures that quantifies their ``degree of risk aversion''. This quantification formalizes the idea that some risk measures are ``more risk-averse'' than others. I construct the functional using two axioms: a normalization on the space of CVaRs and a linearity axiom. I present two formulas for the functional and discuss several properties and interpretations. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2408_15675 |
| institution | arXiv |
| publishDate | 2024 |
| record_format | arxiv |
| spellingShingle | Quantifying the degree of risk aversion of spectral risk measures van Beesten, E. Ruben Risk Management Optimization and Control I propose a functional on the space of spectral risk measures that quantifies their ``degree of risk aversion''. This quantification formalizes the idea that some risk measures are ``more risk-averse'' than others. I construct the functional using two axioms: a normalization on the space of CVaRs and a linearity axiom. I present two formulas for the functional and discuss several properties and interpretations. |
| title | Quantifying the degree of risk aversion of spectral risk measures |
| topic | Risk Management Optimization and Control |
| url | https://arxiv.org/abs/2408.15675 |