Cash non-additive risk measures: horizon risk and generalized entropy

2024/01/25 by Giulia Di Nunno, Di Nunno, Giulia, Emanuela Rosazza Gianin +1
Decision Sciences · Economics, Econometrics and Finance · #Complex Systems and Time Series Analysis #FOS: Economics and business #FOS: Mathematics #Market Dynamics and Volatility #Probability (math.PR) #Risk Management (q-fin.RM) #Risk and Portfolio Optimization

paper · pdf · doi:10.48550/arxiv.2401.14443

openalex publication_date 2024/01/25 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28

Abstract

Horizon risk (see arXiv:2301.04971) is studied in the context of cash non-additive fully-dynamic risk measures induced by BSDEs. Furthermore, we introduce a risk measure based on generalized Tsallis entropy which can dynamically evaluate the riskiness of losses considering both horizon risk and interest rate uncertainty. The new q-entropic risk measure on losses can be used as a quantification of capital requirement.

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