Divergence-Based Risk Measures: A Discussion on Sensitivities and Extensions Xu, Meng Angulo Ibáñez, José Miguel Convex risk measure Sensitivity analysis f-divergence 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. 2020-04-24T11:39:01Z 2020-04-24T11:39:01Z 2019-06-27 info:eu-repo/semantics/article Xu, M., & Angulo, J. M. (2019). Divergence-based risk measures: a discussion on sensitivities and extensions. Entropy, 21(7), 634. http://hdl.handle.net/10481/61585 10.3390/e21070634 eng http://creativecommons.org/licenses/by/3.0/es/ info:eu-repo/semantics/openAccess Atribución 3.0 España MDPI