Characterization of acceptance sets for co-monotone risk measures (Q2397861)
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scientific article; zbMATH DE number 6722904
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Characterization of acceptance sets for co-monotone risk measures |
scientific article; zbMATH DE number 6722904 |
Statements
Characterization of acceptance sets for co-monotone risk measures (English)
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24 May 2017
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acceptance set
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risk measure
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co-monotonicity
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convexity
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value at risk
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expected shortfall
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0.7901144623756409
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0.7861188054084778
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0.7790803909301758
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0.7711256742477417
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