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.
Autori: | ||
Data di pubblicazione: | 2014 | |
Titolo: | A Note on Natural Risk Statistics, OWA operators and Generalized Gini Functions | |
Titolo del libro: | Mathematical and Statistical Methods for Actuarial Science and Finance | |
Digital Object Identifier (DOI): | http://dx.doi.org/10.1007/978-3-319-05014-0_13 | |
Appare nelle tipologie: | 3.1 Articolo su libro |
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