@misc{10481/61585,
year = {2019},
month = {6},
url = {http://hdl.handle.net/10481/61585},
abstract = {This paper introduces a new family of the convex divergence-based risk measure by
specifying (h, f)-divergence, corresponding with the dual representation. First, the sensitivity
characteristics of the modified divergence risk measure with respect to profit and loss (P&L) and the
reference probability in the penalty term are discussed, in view of the certainty equivalent and robust
statistics. Secondly, a similar sensitivity property of (h, f)-divergence risk measure with respect to
P&L is shown, and boundedness by the analytic risk measure is proved. Numerical studies designed
for Rényi- and Tsallis-divergence risk measure are provided. This new family integrates a wide
spectrum of divergence risk measures and relates to divergence preferences.},
organization = {This research was funded by MINECO/FEDER, EU grant MTM2015-70840-P and MCIU/AEI/FEDER,
UE grant PGC2018-098860-B-I00.},
publisher = {MDPI},
keywords = {Convex risk measure},
keywords = {Sensitivity analysis},
keywords = {f-divergence},
title = {Divergence-Based Risk Measures: A Discussion on Sensitivities and Extensions},
doi = {10.3390/e21070634},
author = {Xu, Meng and Angulo Ibáñez, José Miguel},
}