Publication: Qualitative robustness of utility-based risk measures
Qualitative robustness of utility-based risk measures
Date
Date
Date
2024
Journal Article
Published version
Citations
Koch-Medina, P., & Munari, C. (2024). Qualitative robustness of utility-based risk measures. Annals of Operations Research, 336, 967–980. https://doi.org/10.1007/s10479-022-04885-z
Abstract
Abstract
Abstract
We contribute to the literature on statistical robustness of risk measures by computing the index of qualitative robustness for risk measures based on utility functions. This problem is intimately related to finding the natural domain of finiteness and continuity of such risk measures.
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19 since deposited on 2023-08-29
17last week
Acq. date: 2025-11-12
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99 since deposited on 2023-08-29
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Acq. date: 2025-11-12
Additional indexing
Creators (Authors)
- Munari, Cosimo
Volume
Volume
Volume
336
Number
Number
Number
1-2
Page range/Item number
Page range/Item number
Page range/Item number
967
Page end
Page end
Page end
980
Item Type
Item Type
Item Type
Journal Article
In collections
Scope
Scope
Scope
Discipline-based scholarship (basic research)
Language
Language
Language
English
Publication date
Publication date
Publication date
2024-05-01
Date available
Date available
Date available
2023-08-29
ISSN or e-ISSN
ISSN or e-ISSN
ISSN or e-ISSN
0254-5330
OA Status
OA Status
OA Status
Hybrid
Free Access at
Free Access at
Free Access at
DOI
Publisher DOI
Other Identification Number
Other Identification Number
Other Identification Number
merlin-id:22605
Metrics
Downloads
19 since deposited on 2023-08-29
17last week
Acq. date: 2025-11-12
Views
99 since deposited on 2023-08-29
97last week
Acq. date: 2025-11-12
Citations
Koch-Medina, P., & Munari, C. (2024). Qualitative robustness of utility-based risk measures. Annals of Operations Research, 336, 967–980. https://doi.org/10.1007/s10479-022-04885-z
Hybrid Open Access
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