Journal
ANNALS OF OPERATIONS RESEARCH
Volume -, Issue -, Pages -Publisher
SPRINGER
DOI: 10.1007/s10479-022-04885-z
Keywords
Risk measures; Utility functions; Qualitative robustness; Continuity
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Funding
- SNF [100018-189191]
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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.
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.
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