A note on natural risk statistics

✍ Scribed by Shabbir Ahmed; Damir Filipović; Gregor Svindland

• Publisher: Elsevier Science
• Year: 2008
• Tongue: English
• Weight: 623 KB
• Volume: 36
• Category: Article
• ISSN: 0167-6377
• DOI: 10.1016/j.orl.2008.06.009

✦ Synopsis

Bridging the gaps between robustness, subadditivity, and insurance risk measures, 2007, preprint.] proposed the notion of a natural risk statistic associated with a finite sample that relaxes the subadditivity assumption in the classical coherent risk statistics. In this note we use convex analysis to provide alternate proofs of the representation results regarding natural risk statistics.