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Divergence-Based Risk Measures: A Discussion on Sensitivities and Extensions
dc.contributor.author | Xu, Meng | |
dc.contributor.author | Angulo Ibáñez, José Miguel | |
dc.date.accessioned | 2020-04-24T11:39:01Z | |
dc.date.available | 2020-04-24T11:39:01Z | |
dc.date.issued | 2019-06-27 | |
dc.identifier.citation | Xu, M., & Angulo, J. M. (2019). Divergence-based risk measures: a discussion on sensitivities and extensions. Entropy, 21(7), 634. | es_ES |
dc.identifier.uri | http://hdl.handle.net/10481/61585 | |
dc.description.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. | es_ES |
dc.description.sponsorship | This research was funded by MINECO/FEDER, EU grant MTM2015-70840-P and MCIU/AEI/FEDER, UE grant PGC2018-098860-B-I00. | es_ES |
dc.language.iso | eng | es_ES |
dc.publisher | MDPI | es_ES |
dc.rights | Atribución 3.0 España | * |
dc.rights.uri | http://creativecommons.org/licenses/by/3.0/es/ | * |
dc.subject | Convex risk measure | es_ES |
dc.subject | Sensitivity analysis | es_ES |
dc.subject | f-divergence | es_ES |
dc.title | Divergence-Based Risk Measures: A Discussion on Sensitivities and Extensions | es_ES |
dc.type | journal article | es_ES |
dc.rights.accessRights | open access | es_ES |
dc.identifier.doi | 10.3390/e21070634 |