Worst case risk measurement: back to the future? (Q654815)
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scientific article; zbMATH DE number 5991249
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| English | Worst case risk measurement: back to the future? |
scientific article; zbMATH DE number 5991249 |
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Worst case risk measurement: back to the future? (English)
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21 December 2011
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risk measurement
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generalized scenarios
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worst case scenario
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cones
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linear programming
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value-at-risk
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tail-value-at-risk
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exponential premium
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0.8306543231010437
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0.8150837421417236
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0.8123045563697815
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0.8085262179374695
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0.7975471019744873
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