On the generalized risk measures

DOI10.1007/S11766-012-2979-4MaRDI QIDQ377908zbMATHOpenAlexFDO

Authors Aili Zhang, Wenyuan Wang, Yijun Hu

Publication date 19 November 2013

Published in Applied Mathematics. Series B (English Edition) (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11766-012-2979-4

zbMATH Keywords

distortionrisk measurerobust representationcash subadditivity

Mathematics Subject Classification ID

Utility theory (91B16)

Recommendations

• Progress in risk measurement
• Set-valued loss-based risk measures
• Law invariant convex risk measures
• Risk measures with comonotonic subadditivity or convexity on product spaces
• Law invariant risk measures on \(L^\infty(\mathbb R^d)\)

Cites work

• scientific article; zbMATH DE number 1795842 (Why is no real title available?)
• Cash subadditive risk measures and interest rate ambiguity
• Coherent measures of risk
• Convex measures of risk and trading constraints
• Risk Measures and Comonotonicity: A Review
• Risk measures with comonotonic subadditivity or convexity and respecting stochastic orders
• Stochastic finance. An introduction in discrete time

Cited in

(11)

• Risk measures based on probability semimetric
• Risk measures based on behavioural economics theory
• On some claims related to Choquet integral risk measures
• Optimal reinsurance with probabilistic constraints under distortion risk measure
• A generalized measure of riskiness
• Model spaces for risk measures
• A general risk process and its properties
• GENERALIZING DUTCH RISK MEASURES THROUGH IMPRECISE PREVISIONS
• On general theory of risk management and decision support systems
• Toward categorical risk measure theory
• Extended Gini-type measures of risk and variability

This page was built for publication: On the generalized risk measures

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q377908)