Generalized optimized certainty equivalent with applications in the rank-dependent utility model
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Publication:6496951
DOI10.1137/21M1448276MaRDI QIDQ6496951
Taizhong Hu, Qinyu Wu, Tiantian Mao
Publication date: 6 May 2024
Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)
dualityrisk managementrank-dependent utilityconvex risk measurecoherent risk measure\(\varphi\)-divergenceoptimized certainty equivalentvariational preference
Statistical methods; risk measures (91G70) Utility theory (91B16) Risk models (general) (91B05) Actuarial mathematics (91G05)
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