In 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 is shown to retain several desirable properties of its real-valued counterpart. © Springer-Verlag Italia 2012.
An Ordinal Approach to Risk Measurement
CARDIN, Marta;
2012-01-01
Abstract
In 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 is shown to retain several desirable properties of its real-valued counterpart. © Springer-Verlag Italia 2012.
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