Evaluations of Risk Measures for Different Probability Measures

DOI10.1137/110857088zbMath1277.90083OpenAlexW2086538867MaRDI QIDQ5300537

Alois Pichler

Publication date: 27 June 2013

Published in: SIAM Journal on Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/110857088

zbMATH Keywords

risk measuresoptimal transportWasserstein and Kantorovich distancecontinuity properties

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Probability measures on topological spaces (60B05) Stochastic programming (90C15)

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