Risk measures with comonotonic subadditivity or convexity and respecting stochastic orders
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Publication:659171
DOI10.1016/j.insmatheco.2009.09.011zbMath1231.91237MaRDI QIDQ659171
Publication date: 10 February 2012
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2009.09.011
60E15: Inequalities; stochastic orderings
60E05: Probability distributions: general theory
46N10: Applications of functional analysis in optimization, convex analysis, mathematical programming, economics
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