Performance ratio-based coherent risk measure and its application (Q5001164): Difference between revisions

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+https://doi.org/10.1080/14697688.2015.1075059
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+W2291382242
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@@ Property / cites work @@
+Entropic value-at-risk: a new coherent risk measure
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+Application of Coherent Risk Measures to Capital Requirements in Insurance
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+Coherent Measures of Risk
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+AN OLD‐NEW CONCEPT OF CONVEX RISK MEASURES: THE OPTIMIZED CERTAINTY EQUIVALENT
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+Quantiles, expectiles and splines
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+ENTROPIC RISK MEASURES: COHERENCE VS. CONVEXITY, MODEL AMBIGUITY AND ROBUST LARGE DEVIATIONS
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