This paper provides a coherent method for scenario aggregation addressing model uncertainty. It is based on divergence … the definition of five fundamental criteria that serve as a basis for our method. Standard risk measures, such as value-at-risk … and expected shortfall, are shown to be robust with respect to minimum divergence scenario aggregation. Various examples …

independent of duration, simple aggregation will nonetheless lead to the inference that the hazard function is state … ; prospect theory ; aggregation ; consistency …