2000 character limit reached
Cash non-additive risk measures: horizon risk and generalized entropy
Published 25 Jan 2024 in q-fin.RM and math.PR | (2401.14443v3)
Abstract: Horizon risk (see arXiv:2301.04971) is studied in the context of cash non-additive fully-dynamic risk measures induced by BSDEs. Furthermore, we introduce a risk measure based on generalized Tsallis entropy which can dynamically evaluate the riskiness of losses considering both horizon risk and interest rate uncertainty. The new q-entropic risk measure on losses can be used as a quantification of capital requirement.
- Filipovic D. (2008). Optimal numeraires for risk measures. Math. Finance 18(2), 333-336.
- Kobylanski M. (2000). Backward stochastic differential equations and partial differential equations with quadratic growth. Ann. Probab. 28(2), 558-602.
- Mastrogiacomo E., Rosazza Gianin E. (2015). Time-consistency of cash-subadditive risk measures. arXiv:1512.03641.
- Revuz D., Yor, M. (2013). Continuous martingales and Brownian motion. Springer.
- Rosazza Gianin E. (2006). Risk measures via g-expectations. Insurance Math. Econom. 39(1), 19-34.
- Tsallis C. (1988). Possible generalization of Boltzmann-Gibbs statistics. J. Stat. Phys. 52, 479-487.
Paper Prompts
Sign up for free to create and run prompts on this paper using GPT-5.
Top Community Prompts
Collections
Sign up for free to add this paper to one or more collections.
