[en] In this short note, we aim at a qualitative framework for modeling multivariate risk. To this extent, we consider completely distributive lattices as underlying universes, and make use of lattice functions to formalize the notion of risk measure. Several properties of risk measures are translated into this general setting, and used to provide axiomatic characterizations. Moreover, a notion of quantile of a lattice-valued random variable is proposed, which is shown to retain several desirable properties of its real-valued counterpart.
Disciplines :
Mathématiques
Auteur, co-auteur :
Cardin, Marta
COUCEIRO, Miguel ; University of Luxembourg > Faculty of Science, Technology and Communication (FSTC) > Mathematics Research Unit
Co-auteurs externes :
yes
Langue du document :
Anglais
Titre :
An ordinal approach to risk measurement
Date de publication/diffusion :
2012
Nom de la manifestation :
Mathematical and Statistical Methods for Actuarial Sciences and Finance
Date de la manifestation :
2012
Titre de l'ouvrage principal :
Mathematical and Statistical Methods for Actuarial Sciences and Finance
