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    Risk measures on P(R) and value at risk with probability/loss function

    Frittelli, M. and Maggis, M. and Peri, Ilaria (2014) Risk measures on P(R) and value at risk with probability/loss function. Mathematical Finance 24 (3), pp. 442-463. ISSN 0960-1627.

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    We propose a generalization of the classical notion of the V@Rλ 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@Rλ 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 math formula.


    Item Type: Article
    Additional Information: This is the peer reviewed version of the article, which has been published in final form at the link above. This article may be used for non-commercial purposes in accordance with Wiley Terms and Conditions for Self-Archiving.
    School: Birkbeck Faculties and Schools > Faculty of Business and Law > Birkbeck Business School
    Depositing User: Administrator
    Date Deposited: 26 Sep 2017 10:09
    Last Modified: 02 Aug 2023 17:35


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