Abstract
Spectral risk measures are defined as the most attractive subclass of coherent quantile-based risk measures, with a remarkable aptitude for concretizing the decision-maker's subjective attitude toward risk. This chapter raises the problem of underrepresentation of the subclass of spectral risk measures by reviewing the standard spectral risk measures proposed in the literature. In parallel, a discussion about the approaches behind the conception of these risk measures is held. Through this discussion, the authors spot a number of problems with each of these proposals that stand against the reliable applicability of these risk measures in practice.
Sign-in/Register to access full text options 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
