Abstract
AbstractWe 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.
Funder
Schweizerischer Nationalfonds zur Förderung der Wissenschaftlichen Forschung
Publisher
Springer Science and Business Media LLC
Subject
Management Science and Operations Research,General Decision Sciences