Risk measures in the form of infimal convolution (Q2043964)
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scientific article; zbMATH DE number 7378040
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| English | Risk measures in the form of infimal convolution |
scientific article; zbMATH DE number 7378040 |
Statements
Risk measures in the form of infimal convolution (English)
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4 August 2021
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infimal convolution
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convex risk measure
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coherent risk measure
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conditional value-at-risk
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dual representation
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subdifferential
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expected utility
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deterministic equivalent
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0.8175731897354126
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0.8122716546058655
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0.8031988143920898
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0.7994256019592285
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0.7917208671569824
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