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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Cardin, M. (2014). A Note on Natural Risk Statistics, OWA Operators and Generalized Gini Functions. In: Perna, C., Sibillo, M. (eds) Mathematical and Statistical Methods for Actuarial Sciences and Finance. Springer, Cham. https://doi.org/10.1007/978-3-319-05014-0_13
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DOI: https://doi.org/10.1007/978-3-319-05014-0_13
Publisher Name: Springer, Cham
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