JOURNAL ARTICLE

Maxitive monetary risk measures: Worst-case risk assessment and sharp large deviations.

  • Published In: Stochastics & Dynamics, 2025, v. 25, n. 2. P. 1 1 of 3

  • Database: Academic Search Ultimate 2 of 3

  • Authored By: Zapata, José M. 3 of 3

Abstract

In decision making under uncertainty and risk, worst-case risk assessments are often conducted using maxitive monetary risk measures. In this paper, we study maxitive monetary risk measures on the space L 0 of all random variables identified modulo almost sure equality. We prove that a monetary risk measure is maxitive and continuous from below if and only if it is a penalized maximum loss. Furthermore, we characterize the maximum loss as the unique maxitive and law-invariant monetary risk measure. We apply the results to large deviation theory by providing a general criterion to establish a sharp large deviation estimate for sequences of probability measures. We use these findings to provide a formula for the asymptotics of the distortion-exponential insurance premium principle under risk pooling. [ABSTRACT FROM AUTHOR]

Additional Information

  • Source:Stochastics & Dynamics. 2025/03, Vol. 25, Issue 2, p1
  • Document Type:Article
  • Subject Area:Business and Management
  • Publication Date:2025
  • ISSN:0219-4937
  • DOI:10.1142/S0219493725500145
  • Accession Number:184926255
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