The notion of risk measure arose from the problem of quantifying risk. The coherent risk measures and the insurance risk measures are risk measures that satisfy a set of axioms. In this note we consider a different approach to risk measurement and we study natural risk statistics that are based on data and that are characterized by a new set of axioms. In this paper we consider the relationship between risk measurement and aggregation theory.
A Note on Natural Risk Statistics, OWA operators and Generalized Gini Functions
CARDIN, Marta
2014
Abstract
The notion of risk measure arose from the problem of quantifying risk. The coherent risk measures and the insurance risk measures are risk measures that satisfy a set of axioms. In this note we consider a different approach to risk measurement and we study natural risk statistics that are based on data and that are characterized by a new set of axioms. In this paper we consider the relationship between risk measurement and aggregation theory.
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