Properties of distortion risk measures (Q835686): Difference between revisions

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scientific article

Language	Label	Description	Also known as
English	Properties of distortion risk measures	scientific article

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scholarly article

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Properties of distortion risk measures (English)

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zbMATH Open document ID

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10.1007/s11009-008-9089-z

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Methodology and Computing in Applied Probability

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publication date

31 August 2009

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full work available at URL

http://hdl.handle.net/10016/14071

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Mathematics Subject Classification ID

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zbMATH DE Number

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MaRDI profile type

MaRDI publication profile

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Coherent Measures of Risk

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Risk Measures and Comonotonicity: A Review

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Non-additive measure and integral

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Risk measurement with equivalent utility principles

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Convex measures of risk and trading constraints

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A Unified Approach to Generate Risk Measures

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Determination of risk pricing measures from market prices of risk

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Generalized deviations in risk analysis

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Optimality conditions in portfolio analysis with general deviation measures

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Optimization of Convex Risk Functions

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The representations of two types of functionals on \(L^\infty(\Omega,\mathcal F)\) and \(L^\infty(\Omega,\mathcal F,\mathbb P)\)

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Sitelinks

Mathematics(1 entry)

mardi Publication:835686

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