Work

Stochastic orderings for set-valued risk measures

Year: 2025

Type: article

Abstract: This paper explores the portfolio aggregation problem within the framework of set-valued risk measures, with a specific emphasis on maximal correlation risk measures, as introduced in this work. We propose a novel stochastic ordering concept for random vectors and establish consistency properties for maximal correlation risk measures in this setting. Furthermore, we demonstrate convex-type consistency for a specific subclass of law-invariant convex set-valued risk measures, highlighting both their theoretical foundations and practical significance.

Source: Insurance Mathematics and Economics

DOI: 10.1016/j.insmatheco.2025.103180

Authors: Elisa Mastrogiacomo, Marco Tarsia

Institution: University of Insubria

Language: English

Topic: Risk and Portfolio Optimization

Subfield: Management Science and Operations Research

Field: Decision Sciences

Domain: Social Sciences

Open Access status: hybrid

Estimated APC paid: $3,270

OpenAlex ID: W4416416103

FWCI:

Cites: 25

Cited by:

Related to: