Star-Shaped deviations
Marcelo Brutti Righi, Marlon Ruoso Moresco
TL;DR
This paper introduces Star-Shaped deviation measures, a new class of risk assessment tools characterized by their relation to acceptance sets and convex deviation measures, expanding the framework of risk measurement.
Contribution
It defines Star-Shaped deviation measures, characterizes them via acceptance sets, and explores their relationship with Star-Shaped risk measures, offering a novel approach in risk analysis.
Findings
Star-Shaped deviation measures are characterized through acceptance sets.
They can be expressed as the minimum of convex deviation measures.
The paper reveals an interplay between Star-Shaped risk and deviation measures.
Abstract
We propose the Star-Shaped deviation measures in the same vein as Star-Shaped risk measures and Star-Shaped acceptability indexes. We characterize Star-Shaped deviation measures through Star-Shaped acceptance sets and as the minimum of a family of Convex deviation measures. We also expose an interplay between Star-Shaped risk measures and deviation measures.
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Taxonomy
TopicsHealth Systems, Economic Evaluations, Quality of Life · Risk and Portfolio Optimization