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Updated: Jun 26, 2025
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An R-Based Landscape Validation of a Competing Risk Model
Published on: September 16, 2022
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Qualitative robustness of utility-based risk measures
Pablo Koch-Medina1, Cosimo Munari1
1Center for Finance and Insurance and Swiss Finance Institute, University of Zurich, Zurich, Switzerland.
Annals of Operations Research
|May 16, 2024
Summary
This study computes the index of qualitative robustness for utility function-based risk measures. It addresses the natural domain of finiteness and continuity for these statistical robustness measures.
Area of Science:
- Quantitative Finance
- Mathematical Economics
Background:
- Risk measures are crucial in financial decision-making.
- Assessing the statistical robustness of risk measures is an active research area.
- Utility functions provide a framework for modeling risk preferences.
Purpose of the Study:
- To compute the index of qualitative robustness for risk measures derived from utility functions.
- To investigate the relationship between statistical robustness and the domain properties of risk measures.
Main Methods:
- Calculation of the index of qualitative robustness.
- Analysis of the natural domain of finiteness for risk measures.
- Investigation of continuity properties of risk measures.
Main Results:
- The index of qualitative robustness was successfully computed for utility-based risk measures.
- The study identified key properties of the natural domain related to robustness.
- Connections between domain characteristics and measure continuity were established.
Conclusions:
- The findings contribute to understanding the statistical robustness of financial risk measures.
- This research clarifies the interplay between utility functions, domain properties, and robustness.
- The results have implications for the theoretical development and practical application of risk measures.
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