Quasiconvex risk statistics with scenario analysis

DOI10.1007/s11579-014-0136-yzbMath1312.91060OpenAlexW2013629511MaRDI QIDQ2342735

Long Jiang, De-Jian Tian

Publication date: 29 April 2015

Published in: Mathematics and Financial Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11579-014-0136-y

zbMATH Keywords

scenario analysiscomonotonic quasi convexityempirical-law-invariancequasiconvex risk statistics

Mathematics Subject Classification ID

Financial applications of other theories (91G80)

Related Items

Multivariate convex risk statistics with scenario analysis ⋮ Multivariate shortfall risk statistics with scenario analysis ⋮ Set-valued risk statistics with scenario analysis ⋮ Capital allocation with multivariate risk statistics with positive homogeneity and subadditivity ⋮ From concentration profiles to concentration maps. New tools for the study of loss distributions ⋮ Regulator-based risk statistics with scenario analysis ⋮ Regulator-based risk statistics for portfolios ⋮ Systemic risk statistics with scenario analysis

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