英文标题：
《A composition between risk and deviation measures》
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作者：
Marcelo Brutti Righi
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最新提交年份：
2018
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英文摘要：
The intuition of risk is based on two main concepts: loss and variability. In this paper, we present a composition of risk and deviation measures, which contemplate these two concepts. Based on the proposed Limitedness axiom, we prove that this resulting composition, based on properties of the two components, is a coherent risk measure. Similar results for the cases of convex and co-monotone risk measures are exposed. We also provide examples of known and new risk measures constructed under this framework in order to highlight the importance of our approach, especially the role of the Limitedness axiom.
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中文摘要：
风险直觉基于两个主要概念：损失和可变性。在本文中，我们提出了风险和偏差度量的组合，考虑了这两个概念。基于所提出的有限性公理，我们证明了基于这两个组成部分的性质得到的组合是一个一致的风险度量。对于凸风险测度和共单调风险测度的情况，也给出了类似的结果。我们还提供了在此框架下构建的已知和新风险度量的示例，以强调我们方法的重要性，尤其是有限性公理的作用。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Risk Management 风险管理
分类描述：Measurement and management of financial risks in trading, banking, insurance, corporate and other applications
衡量和管理贸易、银行、保险、企业和其他应用中的金融风险
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