Quasiconvex risk statistics with scenario analysis (Q2342735): Difference between revisions
From MaRDI portal
Set profile property. |
Set OpenAlex properties. |
||
| Property / full work available at URL | |||
| Property / full work available at URL: https://doi.org/10.1007/s11579-014-0136-y / rank | |||
Normal rank | |||
| Property / OpenAlex ID | |||
| Property / OpenAlex ID: W2013629511 / rank | |||
Normal rank | |||
Revision as of 20:56, 19 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Quasiconvex risk statistics with scenario analysis |
scientific article |
Statements
Quasiconvex risk statistics with scenario analysis (English)
0 references
29 April 2015
0 references
The paper starts with a preliminary brief overview of basic notions of convex analysis and risk statistics. Then, representation theorems for quasiconvex risk statistics are presented, as well as representation results for empirical-law-invariant quasiconvex risk statistics. Some examples illustrate the applications of the results, also motivated by the Basel accords.
0 references
quasiconvex risk statistics
0 references
empirical-law-invariance
0 references
scenario analysis
0 references
comonotonic quasi convexity
0 references
