Tail subadditivity of distortion risk measures and multivariate tail distortion risk measures (Q2364013)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: Tail subadditivity of distortion risk measures and multivariate tail distortion risk measures |
scientific article; zbMATH DE number 6747608
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | Tail subadditivity of distortion risk measures and multivariate tail distortion risk measures |
scientific article; zbMATH DE number 6747608 |
Statements
Tail subadditivity of distortion risk measures and multivariate tail distortion risk measures (English)
0 references
17 July 2017
0 references
generalized GlueVaR
0 references
subadditivity
0 references
tail subadditivity
0 references
tail distortion risk measure
0 references
multivariate tail risk measure
0 references
coherent risk measure
0 references
Choquet integral
0 references
capital allocation
0 references
0 references
0.8127031326293945
0 references
0.8027688264846802
0 references
0.7951454520225525
0 references
0.791934609413147
0 references
0.7855626344680786
0 references
