1 résultat pour « coherent risk measures »

Partially Law‑Invariant Risk Measures

The study introduces partial law invariance, a novel concept extending law-invariant risk measures in decision-making under uncertainty. It characterizes partially law-invariant coherent risk measures with a unique formula, deviating from classical approaches. Strong partial law invariance is introduced, proposing new risk measures like partial versions of Expected Shortfall for risk assessment under model uncertainty.