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- W4297794881 abstract "We propose a generalization of the classical notion of the $V@R_{lambda}$ that takes into account not only the probability of the losses, but the balance between such probability and the amount of the loss. This is obtained by defining a new class of law invariant risk measures based on an appropriate family of acceptance sets. The $V@R_{lambda}$ and other known law invariant risk measures turn out to be special cases of our proposal. We further prove the dual representation of Risk Measures on $mathcal{P}(% mathbb{R}).$" @default.
- W4297794881 created "2022-10-01" @default.
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- W4297794881 date "2012-01-11" @default.
- W4297794881 modified "2023-10-18" @default.
- W4297794881 title "Risk Measures on $mathcal{P}(mathbb{R})$ and Value At Risk with Probability/Loss function" @default.
- W4297794881 doi "https://doi.org/10.48550/arxiv.1201.2257" @default.
- W4297794881 hasPublicationYear "2012" @default.
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