An Ordinal Approach to Risk Measurement
AbstractIn this short note, we aim at a qualitative framework for modeling multivariate risk. To this extent, we consider completely distributive lattices as underlying universes, and make use of lattice functions to formalize the notion of risk measure. Several properties of risk measures are translated into this general setting, and used to provide axiomatic characterizations. Moreover, a notion of quantile of a lattice-valued random variable is proposed, which shown to retain several desirable properties of its real-valued counterpart.
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Bibliographic InfoPaper provided by Department of Applied Mathematics, Università Ca' Foscari Venezia in its series Working Papers with number 200.
Length: 11 pages
Date of creation: Sep 2010
Date of revision:
lattice; risk measure; Sugeno integral; quantile.;
Find related papers by JEL classification:
- C02 - Mathematical and Quantitative Methods - - General - - - Mathematical Economics
- C40 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - General
This paper has been announced in the following NEP Reports:
- NEP-ALL-2010-10-16 (All new papers)
- NEP-BAN-2010-10-16 (Banking)
- NEP-FMK-2010-10-16 (Financial Markets)
- NEP-RMG-2010-10-16 (Risk Management)
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