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• W2954752743 startingPage "634" @default.
• W2954752743 abstract "This paper introduces a new family of the convex divergence-based risk measure by specifying ( h , ϕ ) -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 , ϕ ) -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." @default.
• W2954752743 created "2019-07-12" @default.
• W2954752743 creator A5008621958 @default.
• W2954752743 creator A5055610180 @default.
• W2954752743 date "2019-06-27" @default.
• W2954752743 modified "2023-09-27" @default.
• W2954752743 title "Divergence-Based Risk Measures: A Discussion on Sensitivities and Extensions" @default.
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• W2954752743 doi "https://doi.org/10.3390/e21070634" @default.
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