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Risk Measures on $mathcal{P}(mathbb{R})$ and Value At Risk with Probability/Loss function

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 نشر من قبل Marco Maggis Doctor
 تاريخ النشر 2012
  مجال البحث مالية
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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 $mathcal{P}(% mathbb{R}).$



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