Quasiconvex risk statistics with scenario analysis
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Publication:2342735
DOI10.1007/S11579-014-0136-YzbMath1312.91060OpenAlexW2013629511MaRDI QIDQ2342735
Publication date: 29 April 2015
Published in: Mathematics and Financial Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11579-014-0136-y
Related Items (8)
Multivariate convex risk statistics with scenario analysis ⋮ Multivariate shortfall risk statistics with scenario analysis ⋮ Set-valued risk statistics with scenario analysis ⋮ Capital allocation with multivariate risk statistics with positive homogeneity and subadditivity ⋮ From concentration profiles to concentration maps. New tools for the study of loss distributions ⋮ Regulator-based risk statistics with scenario analysis ⋮ Regulator-based risk statistics for portfolios ⋮ Systemic risk statistics with scenario analysis
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