Measure distorted arrival rate risks and their rewards
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Publication:2296098
DOI10.1186/s41546-017-0021-8zbMath1431.91443OpenAlexW2652192017WikidataQ59612016 ScholiaQ59612016MaRDI QIDQ2296098
Publication date: 17 February 2020
Published in: Probability, Uncertainty and Quantitative Risk (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1186/s41546-017-0021-8
hunt processvariance gammaMarkov chain approximationmatrix exponentiationmomentum functionmeasure distortion
Statistical methods; risk measures (91G70) Applications of continuous-time Markov processes on discrete state spaces (60J28)
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Cites Work
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