Entropic risk measures: coherence vs. convexity, model ambiguity and robust large deviations (Q3173994)
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scientific article; zbMATH DE number 5956322
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| English | Entropic risk measures: coherence vs. convexity, model ambiguity and robust large deviations |
scientific article; zbMATH DE number 5956322 |
Statements
ENTROPIC RISK MEASURES: COHERENCE VS. CONVEXITY, MODEL AMBIGUITY AND ROBUST LARGE DEVIATIONS (English)
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11 October 2011
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risk measures
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premium principles
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model ambiguity
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large deviations
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0.8620200753211975
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0.861729621887207
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0.8098558187484741
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0.8086957335472107
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