{"title":"A new class of spectral risk measures","authors":"Mohammed Berkhouch, G. Lakhnati, M. Righi","doi":"10.1109/ICOA.2018.8370533","DOIUrl":null,"url":null,"abstract":"The aim of this paper is to introduce a class of spectral risk measures that extends the Gini-type measure of risk and variability, by taking risk aversion into consideration. Our class of risk measures is coherent and catches variability, an important concept for risk management. The analysis is made under the Choquet integral representation framework. We further provide a practical application.","PeriodicalId":433166,"journal":{"name":"2018 4th International Conference on Optimization and Applications (ICOA)","volume":"53 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2018-04-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"2018 4th International Conference on Optimization and Applications (ICOA)","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1109/ICOA.2018.8370533","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
引用次数: 0
Abstract
The aim of this paper is to introduce a class of spectral risk measures that extends the Gini-type measure of risk and variability, by taking risk aversion into consideration. Our class of risk measures is coherent and catches variability, an important concept for risk management. The analysis is made under the Choquet integral representation framework. We further provide a practical application.
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