On the generalized risk measures

DOI10.1007/S11766-012-2979-4zbMATH Open1289.91101OpenAlexW1968061273MaRDI QIDQ377908FDOQ377908

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

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zbMATH Keywords

distortionrisk measurerobust representationcash subadditivity

Mathematics Subject Classification ID

Utility theory (91B16)

Cites Work

• Coherent measures of risk
• Stochastic finance. An introduction in discrete time
• Convex measures of risk and trading constraints
• Cash subadditive risk measures and interest rate ambiguity
• Title not available (Why is that?)
• Risk Measures and Comonotonicity: A Review
• Risk measures with comonotonic subadditivity or convexity and respecting stochastic orders

Cited In (8)

• A generalized measure of riskiness
• GENERALIZING DUTCH RISK MEASURES THROUGH IMPRECISE PREVISIONS
• A general risk process and its properties
• On some claims related to Choquet integral risk measures
• Title not available (Why is that?)
• On general theory of risk management and decision support systems
• Model spaces for risk measures
• Toward categorical risk measure theory

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