Not logged in.

Contribution Details

Type Journal Article
Scope Discipline-based scholarship
Title Qualitative robustness of utility-based risk measures
Organization Unit
Authors
  • Pablo Koch Medina
  • Cosimo Munari
Item Subtype Original Work
Refereed Yes
Status Published electronically before print/final form (Epub ahead of print)
Language
  • English
Journal Title Annals of Operations Research
Geographical Reach international
ISSN 1572-9338
Volume forthcoming
Page Range -
Date 2022
Abstract Text 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.
Free access at Official URL
Official URL https://link.springer.com/article/10.1007/s10479-022-04885-z
Digital Object Identifier 10.1007/s10479-022-04885-z
Export BibTeX
EP3 XML (ZORA)