Zobrazeno 1 - 10
of 36
pro vyhledávání: '"Moresco, Marlon"'
We introduce the concept of set risk measures (SRMs), which are real-valued maps defined on the space of all non-empty, closed, and bounded sets of almost surely bounded random variables. Traditional risk measures typically operate on spaces of rando
Externí odkaz:
http://arxiv.org/abs/2407.18687
We introduce a framework for quantifying propagation of uncertainty arising in a dynamic setting. Specifically, we define dynamic uncertainty sets designed explicitly for discrete stochastic processes over a finite time horizon. These dynamic uncerta
Externí odkaz:
http://arxiv.org/abs/2308.12856
Autor:
Santos, Samuel Solgon, Moresco, Marlon Ruoso, Righi, Marcelo Brutti, Horta, Eduardo de Oliveira
We present simple general conditions on the acceptance sets under which their induced monetary risk and deviation measures are comonotonic additive. We show that acceptance sets induce comonotonic additive risk measures if and only if the acceptance
Externí odkaz:
http://arxiv.org/abs/2307.04647
We propose a risk measurement approach for a risk-averse stochastic problem. We provide results that guarantee that our problem has a solution. We characterize and explore the properties of the argmin as a risk measure and the minimum as a deviation
Externí odkaz:
http://arxiv.org/abs/2208.14809
We propose the Star-Shaped deviation measures in the same vein as Star-Shaped risk measures and Star-Shaped acceptability indexes. We characterize Star-Shaped deviation measures through Star-Shaped acceptance sets and as the minimum of a family of Co
Externí odkaz:
http://arxiv.org/abs/2207.08613
Autor:
Moresco, Marlon, Righi, Marcelo Brutti
Recently, Castagnoli et al. (2021) introduce the class of star-shaped risk measures as a generalization of convex and coherent ones, proving that there is a representation as the pointwise minimum of some family composed by convex risk measures. Conc
Externí odkaz:
http://arxiv.org/abs/2108.13500
Autor:
Righi, Marcelo Brutti1 (AUTHOR) marcelo.righi@ufrgs.br, Moresco, Marlon Ruoso1 (AUTHOR)
Publikováno v:
Annals of Operations Research. May2024, Vol. 336 Issue 1/2, p829-860. 32p.
We propose to derive deviation measures through the Minkowski gauge of a given set of acceptable positions. We show that, given a suitable acceptance set, any positive homogeneous deviation measure can be accommodated in our framework. In doing so, w
Externí odkaz:
http://arxiv.org/abs/2007.01414
The inf-convolution of risk measures is directly related to risk sharing and general equilibrium, and it has attracted considerable attention in mathematical finance and insurance problems. However, the theory is restricted to finite sets of risk mea
Externí odkaz:
http://arxiv.org/abs/2003.05797
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