Risk excess measures induced by hemi-metrics

Faugeras, Olivier and Rüschendorf, Ludger (2018) Risk excess measures induced by hemi-metrics. TSE Working Paper, n. 18-922, Toulouse

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Official URL: http://tse-fr.eu/pub/32655

Abstract

The main aim of this paper is to introduce the notion of risk excess measure, to analyze its properties and to describe some basic construction methods. To compare the risk excess of one distribution Q w.r.t. a given risk distribution P, we propose to apply the concept of hemi-metric on the space of probability measures. This view of risk comparison has a natural basis in the extension of orderings and hemi-metrics on the underlying space to the level of probability measures. Basic examples of these kind of extensions are induced by mass transportation and by function class induced orderings. Our view towards measuring risk excess adds to the usually considered method to compare risks of Q and P by the values rho(Q), rho(P) of a risk measure rho. We argue that the difference rho(Q)-rho(P) neglects relevant aspects of the risk excess which are adequately described by the new notion of risk excess measure. We derive various concrete classes of risk excess measures and discuss corresponding ordering and measure extension properties.

Item Type: Monograph (Working Paper)
Language: English
Date: May 2018
Place of Publication: Toulouse
Uncontrolled Keywords: risk measure, mass transportation, hemi-metric, stochastic order
Subjects: B- ECONOMIE ET FINANCE
Divisions: TSE-R (Toulouse)
Institution: Université Toulouse 1 Capitole
Site: UT1
Date Deposited: 15 May 2018 08:19
Last Modified: 15 May 2018 08:19
OAI ID: oai:tse-fr.eu:32655
URI: http://publications.ut-capitole.fr/id/eprint/26016

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