Star-shaped acceptability indexes
MB Righi - Insurance: Mathematics and Economics, 2024 - Elsevier
We propose the star-shaped acceptability indexes as generalizations of both the
approaches of Cherny and Madan (2009) and Rosazza Gianin and Sgarra (2013) in the …
approaches of Cherny and Madan (2009) and Rosazza Gianin and Sgarra (2013) in the …
A theory for combinations of risk measures
MB Righi - arXiv preprint arXiv:1807.01977, 2018 - arxiv.org
We study combinations of risk measures under no restrictive assumption on the set of
alternatives. We develop and discuss results regarding the preservation of properties and …
alternatives. We develop and discuss results regarding the preservation of properties and …
Risk sharing with deep neural networks
We consider the problem of optimally sharing a financial position among agents with
potentially different reference risk measures. The problem is equivalent to computing the …
potentially different reference risk measures. The problem is equivalent to computing the …