Qualitative robustness of utility-based risk measures

Comparative and qualitative robustness for law-invariant risk measures

Law - invariant risk measures : extension properties and qualitative robustness

We characterize when a convex risk measure associated to a law-invariant acceptance set in L can be extended to L, 1�p<∞, preserving finiteness and continuity. This problem is strongly connected to the statistical robustness of the corresponding risk measures. Special attention is paid to concrete examples including risk measures based on expected utility, max-correlation risk measures, and dis...

Aggregation-robustness and model uncertainty of regulatory risk measures

Research related to aggregation, robustness, and model uncertainty of regulatory risk measures, for instance, Value-at-Risk (VaR) and Expected Shortfall (ES), is of fundamental importance within quantitative risk management. In risk aggregation, marginal risks and their dependence structure are often modeled separately, leading to uncertainty arising at the level of a joint model. In this paper...

Utility-based Performance Measures for Regression

Costs and benefits are of key importance for most real-world data mining applications. The main work carried out within ML/DM on cost-sensitive learning has been centered on classification tasks. Nevertheless, there are many real-world regression applications where costs and/or benefits of the predictions play an important role. On such applications, the costs and/or benefits of a prediction ca...

Loss-Based Risk Measures

Starting from the requirement that risk measures of financial portfolios should be based on their losses, not their gains, we define the notion of loss-based risk measure and study the properties of this class of risk measures. We characterize loss-based risk measures by a representation theorem and give examples of such risk measures. We then discuss the statistical robustness of estimators of...