ENTROPIC RISK MEASURES: COHERENCE VS. CONVEXITY, MODEL AMBIGUITY AND ROBUST LARGE DEVIATIONS
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Publication:3173994
DOI10.1142/S0219493711003334zbMath1237.91128MaRDI QIDQ3173994
Publication date: 11 October 2011
Published in: Stochastics and Dynamics (Search for Journal in Brave)
62P05: Applications of statistics to actuarial sciences and financial mathematics
91B16: Utility theory
60F10: Large deviations
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Cites Work
- On Cramér's theorem for capacities
- On convex principles of premium calculation
- On additive principles of zero utility
- Worst-case large-deviation asymptotics with application to queueing and information theory
- Coherent Measures of Risk
- Robust large deviations performance analysis for large sample detectors
- Some Minimax Theorems.
