Surplus-Invariant Risk Measures

DOI10.1287/moor.2019.1035zbMath1455.91275arXiv1707.04949OpenAlexW3040430149MaRDI QIDQ3387927

Niushan Gao, Cosimo Munari

Publication date: 8 January 2021

Published in: Mathematics of Operations Research (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1707.04949

zbMATH Keywords

extensionsrisk measuresacceptance setssurplus invariancedual representationsclassical model spacesrobust model spaces

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70)

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