Upper bounds for strictly concave distortion risk measures on moment spaces (Q1799647): Difference between revisions
From MaRDI portal
Removed claims |
Changed an Item |
||
| Property / author | |||
| Property / author: Dries Cornilly / rank | |||
Normal rank | |||
| Property / author | |||
| Property / author: Ludger Rüschendorf / rank | |||
Normal rank | |||
Revision as of 12:21, 10 February 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Upper bounds for strictly concave distortion risk measures on moment spaces |
scientific article |
Statements
Upper bounds for strictly concave distortion risk measures on moment spaces (English)
0 references
19 October 2018
0 references
value-at-risk (VaR)
0 references
coherent risk measure
0 references
model uncertainty
0 references
Cantelli bound
0 references
distortion function
0 references
