星形可接受性指数

IF 1.9 2区经济学 Q2 ECONOMICS Insurance Mathematics & Economics Pub Date : 2024-05-21 DOI:10.1016/j.insmatheco.2024.05.002

Marcelo Brutti Righi

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引用次数: 0

摘要

我们提出星形可接受性指数是对 Cherny 和 Madan（2009 年）以及 Rosazza Gianin 和 Sgarra（2013 年）方法的概括，这与星形风险度量对 Castagnoli 等人（2022 年）中相干和凸风险度量类的概括是一脉相承的。我们通过星形风险度量表征可接受性指数，并将星形接受集作为准凹可接受性指数族的最小值。此外，我们还介绍了与风险价值、风险调整后资本回报、基于回报的收益-损失比率和单调回报-偏差比率相关的具体实例。

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Star-shaped acceptability indexes

We propose the star-shaped acceptability indexes as generalizations of both the approaches of Cherny and Madan (2009) and Rosazza Gianin and Sgarra (2013) in the same vein as star-shaped risk measures generalize both the classes of coherent and convex risk measures in Castagnoli et al. (2022). We characterize acceptability indexes through star-shaped risk measures and star-shaped acceptance sets as the minimum of a family of quasi-concave acceptability indexes. Further, we introduce concrete examples under our approach linked to Value at Risk, risk-adjusted reward on capital, reward-based gain-loss ratio, and monotone reward-deviation ratio.

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来源期刊

Insurance Mathematics & Economics 管理科学-数学跨学科应用

CiteScore

3.40

自引率

15.80%

发文量

审稿时长

17.3 weeks

期刊介绍： Insurance: Mathematics and Economics publishes leading research spanning all fields of actuarial science research. It appears six times per year and is the largest journal in actuarial science research around the world. Insurance: Mathematics and Economics is an international academic journal that aims to strengthen the communication between individuals and groups who develop and apply research results in actuarial science. The journal feels a particular obligation to facilitate closer cooperation between those who conduct research in insurance mathematics and quantitative insurance economics, and practicing actuaries who are interested in the implementation of the results. To this purpose, Insurance: Mathematics and Economics publishes high-quality articles of broad international interest, concerned with either the theory of insurance mathematics and quantitative insurance economics or the inventive application of it, including empirical or experimental results. Articles that combine several of these aspects are particularly considered.

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