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Contribution Details
| Type | Journal Article |
| Scope | Discipline-based scholarship |
| Title | Qualitative robustness of utility-based risk measures |
| Organization Unit | |
| Authors |
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| Item Subtype | Original Work |
| Refereed | Yes |
| Status | Published electronically before print/final form (Epub ahead of print) |
| Language |
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| Journal Title | Annals of Operations Research |
| Publisher | Springer |
| Geographical Reach | international |
| ISSN | 0254-5330 |
| Page Range | Epub ahead of print |
| 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 | DOI |
| Digital Object Identifier | 10.1007/s10479-022-04885-z |
| Other Identification Number | merlin-id:22605 |
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