一类新的频谱风险度量

2018 4th International Conference on Optimization and Applications (ICOA) Pub Date : 2018-04-01 DOI:10.1109/ICOA.2018.8370533

Mohammed Berkhouch, G. Lakhnati, M. Righi

{"title":"一类新的频谱风险度量","authors":"Mohammed Berkhouch, G. Lakhnati, M. Righi","doi":"10.1109/ICOA.2018.8370533","DOIUrl":null,"url":null,"abstract":"The aim of this paper is to introduce a class of spectral risk measures that extends the Gini-type measure of risk and variability, by taking risk aversion into consideration. Our class of risk measures is coherent and catches variability, an important concept for risk management. The analysis is made under the Choquet integral representation framework. We further provide a practical application.","PeriodicalId":433166,"journal":{"name":"2018 4th International Conference on Optimization and Applications (ICOA)","volume":"53 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2018-04-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"A new class of spectral risk measures\",\"authors\":\"Mohammed Berkhouch, G. Lakhnati, M. Righi\",\"doi\":\"10.1109/ICOA.2018.8370533\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"The aim of this paper is to introduce a class of spectral risk measures that extends the Gini-type measure of risk and variability, by taking risk aversion into consideration. Our class of risk measures is coherent and catches variability, an important concept for risk management. The analysis is made under the Choquet integral representation framework. We further provide a practical application.\",\"PeriodicalId\":433166,\"journal\":{\"name\":\"2018 4th International Conference on Optimization and Applications (ICOA)\",\"volume\":\"53 1\",\"pages\":\"0\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2018-04-01\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"2018 4th International Conference on Optimization and Applications (ICOA)\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.1109/ICOA.2018.8370533\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"2018 4th International Conference on Optimization and Applications (ICOA)","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1109/ICOA.2018.8370533","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}

引用次数: 0

摘要

本文的目的是通过考虑风险厌恶，引入一类频谱风险度量，扩展基尼型风险和可变性度量。我们的风险度量类是一致的，并且抓住了可变性，这是风险管理的一个重要概念。在Choquet积分表示框架下进行分析。我们进一步提供了一个实际应用。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

查看原文本刊更多论文

A new class of spectral risk measures

The aim of this paper is to introduce a class of spectral risk measures that extends the Gini-type measure of risk and variability, by taking risk aversion into consideration. Our class of risk measures is coherent and catches variability, an important concept for risk management. The analysis is made under the Choquet integral representation framework. We further provide a practical application.

求助全文

通过发布文献求助，成功后即可免费获取论文全文。去求助

来源期刊

2018 4th International Conference on Optimization and Applications (ICOA)

自引率

0.00%

发文量