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Coherent Risk Measures Derived from Utility Functions

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Modeling Decisions for Artificial Intelligence (MDAI 2018)

Part of the book series: Lecture Notes in Computer Science ((LNAI,volume 11144))

Abstract

Coherent risk measures in financial management are discussed from the view point of average value-at-risks with risk spectra. A minimization problem of the distance between risk estimations through decision maker’s utility and coherent risk measures with risk spectra is introduced. The risk spectrum of the optimal coherent risk measures in this problem is obtained and it inherits the risk averse property of utility functions. Various properties of coherent risk measures and risk spectrum are demonstrated. Several numerical examples are given to illustrate the results.

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Acknowledgments

This research is supported from JSPS KAKENHI Grant Number JP 16K05282.

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Authors and Affiliations

  1. Faculty of Economics and Business Administration, University of Kitakyushu, 4-2-1 Kitagata, Kokuraminami, Kitakyushu, 802-8577, Japan

    Yuji Yoshida

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  1. Yuji Yoshida
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Correspondence to Yuji Yoshida .

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Editors and Affiliations

  1. Maynooth University, Maynooth, Ireland

    Vicenç Torra

  2. Department Management Science, Tamagawa University, Tokyo, Japan

    Yasuo Narukawa

  3. University of the Balearic Islands, Palma de Mallorca, Spain

    Isabel Aguiló

  4. University of the Balearic Islands, Palma de Mallorca, Baleares, Spain

    Manuel González-Hidalgo

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Yoshida, Y. (2018). Coherent Risk Measures Derived from Utility Functions. In: Torra, V., Narukawa, Y., Aguiló, I., González-Hidalgo, M. (eds) Modeling Decisions for Artificial Intelligence. MDAI 2018. Lecture Notes in Computer Science(), vol 11144. Springer, Cham. https://doi.org/10.1007/978-3-030-00202-2_2

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  • DOI: https://doi.org/10.1007/978-3-030-00202-2_2

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  • Publisher Name: Springer, Cham

  • Print ISBN: 978-3-030-00201-5

  • Online ISBN: 978-3-030-00202-2

  • eBook Packages: Computer ScienceComputer Science (R0)

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