1.
Ann Oper Res
; 336(1-2): 967-980, 2024.
Artículo
en Inglés
| MEDLINE
| ID: mdl-38751566
RESUMEN
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.