Sensitivity measures based on scoring functions

DOI10.1016/j.ejor.2022.10.002arXiv2203.00460MaRDI QIDQ6167385

Silvana M. Pesenti, Tobias Fissler

Publication date: 10 July 2023

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2203.00460

zbMATH Keywords

consistencyvalue-at-riskinformation valueexpected shortfallelicitability

Mathematics Subject Classification ID

Operations research and management science (90Bxx)

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