Publication:2968298
From MaRDI portal
zbMath1357.91018MaRDI QIDQ2968298
Marc J. Goovaerts, Steven Vanduffel, Rob Kaas, Jan Dhaene, David Vyncke, Qi-he Tang
Publication date: 13 March 2017
value-at-risk; comonotonicity; distortion risk measures; conditional tail expectation; tail value-at-risk
91G70: Statistical methods; risk measures
Related Items
Coherent Distortion Risk Measures and Higher-Order Stochastic Dominances, A stop-loss risk index, Optimal reinsurance under convex principles of premium calculation, Financial risk measurement with imprecise probabilities, Credibility theory based on trimming, Stochastic orders and risk measures: consistency and bounds, Solvency II – towards a new insurance supervisory system in the EU