An overview of representation theorems for static risk measures
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Applications of functional analysis in optimization, convex analysis, mathematical programming, economics (46N10) Probability distributions: general theory (60E05) Inequalities; stochastic orderings (60E15) Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02)
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Cites work
- A REPRESENTATION RESULT FOR CONCAVE SCHUR CONCAVE FUNCTIONS
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Cited in
(15)- Solvency II, or how to sweep the downside risk under the carpet
- A note on convex risk statistic
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- Representation of weakly maxitive monetary risk measures and their rate functions
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- Static multidimensional risk measures research
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- Moments of G-normal distributions with respect to Choquet expectations
- An integrated approach to importance sampling and machine learning for efficient Monte Carlo estimation of distortion risk measures in black-box models
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