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
2014-01-01
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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