Coherence of distortion risk measure

MaRDI QIDQ3537223zbMATH OpenFDO

Authors Qiang Qiu, Yun Xu

Publication date 24 November 2008

zbMATH Keywords

coherentdistortion risk measure

Mathematics Subject Classification ID

Recommendations

• Distortion Risk Measures and Economic Capital
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Cited in

(9)

• Equivalent distortion risk measures on moment spaces
• On the interplay between distortion, mean value and Haezendonck-Goovaerts risk measures
• Relative value-at-risk: a new kind of coherent risk measure
• One-parameter families of distortion risk measures
• A new risk measure method-GVaR
• Computation and asymptotic properties of estimated coherent risk measures
• Distortion Risk Measures and Economic Capital
• Distortion risk measures: prudence, coherence, and the expected shortfall
• Properties of distortion risk measures

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