Resumen de Scale-free and location-free risk measures

Catalina Bolancé Losilla, Alejandra Cabaña, Albert Pitarque, Isabel Serra

• A discussion around characterization risk profile is propose, bearing in mind that a risk profiles should be scale-free and location-free with respect to the stochastic characterization of losses. The Extreme Value Index (EVI) is introduced as a measure of risk profile. Statistical learning methodologies are proposed and an illustrative example with empirical data is shown.