RISK MEASURES ON P(R) AND VALUE AT RISK WITH PROBABILITY/LOSS FUNCTION
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Publication:2875724
DOI10.1111/mafi.12028zbMath1304.91102arXiv1201.2257OpenAlexW2299681696MaRDI QIDQ2875724
Ilaria Peri, Marco Maggis, Marco Frittelli
Publication date: 11 August 2014
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1201.2257
quantilesdistribution functionsquasi-convex functionsvalue at riskdual representationlaw invariant risk measures
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