arXiv Open Access 2024

Quantifying the degree of risk aversion of spectral risk measures

E. Ruben van Beesten

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Abstrak

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.

Topik & Kata Kunci

q-fin.RM math.OC

Penulis (1)

E. Ruben van Beesten

Format Sitasi

APA MLA BibTeX

Beesten, E.R.v. (2024). Quantifying the degree of risk aversion of spectral risk measures. https://arxiv.org/abs/2408.15675

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Informasi Jurnal

Tahun Terbit: 2024
Bahasa: en
Sumber Database: arXiv
Akses: Open Access ✓