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Updated: Jun 26, 2025

An R-Based Landscape Validation of a Competing Risk Model
Published on: September 16, 2022
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.
Abstract:
We contribute to the literature on statistical robustness of risk measures by computing the index of qualitative robustness for risk measures based on utility functions. This problem is intimately related to finding the natural domain of finiteness and continuity of such risk measures.
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