Generalized quantiles as risk measures

DOI10.1016/j.insmatheco.2013.10.015zbMath1303.91089OpenAlexW3122170229WikidataQ60430061 ScholiaQ60430061MaRDI QIDQ2015471

Alfred Müller, Fabio Bellini, Emanuela Rosazza Gianin, Bernhard Klar

Publication date: 23 June 2014

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2013.10.015

zbMATH Keywords

robustness Wasserstein metric coherence elicitability expectile Kusuoka representation

Mathematics Subject Classification ID

Lua error in Module:PublicationMSCList at line 37: attempt to index local 'msc_result' (a nil value).

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