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pro vyhledávání: '"Sgarabottolo, Alessandro"'
In this paper, we study convex risk measures with weak optimal transport penalties. In a first step, we show that these risk measures allow for an explicit representation via a nonlinear transform of the loss function. In a second step, we discuss co
Externí odkaz:
http://arxiv.org/abs/2312.05973
Autor:
Nendel, Max, Sgarabottolo, Alessandro
In this paper, we explore a static setting for the assessment of risk in the context of mathematical finance and actuarial science that takes into account model uncertainty in the distribution of a possibly infinite-dimensional risk factor. We allow
Externí odkaz:
http://arxiv.org/abs/2210.14340