Risk quantization by magnitude and propensity

DOI10.1016/J.INSMATHECO.2024.02.005MaRDI QIDQ6543152zbMATH OpenFDO

Authors Olivier P. Faugeras, Gilles Pagès

Publication date 24 May 2024

Published in Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/J.INSMATHECO.2024.02.005

zbMATH Keywords

magnitude-propensitymass transportationoptimal quantizationportfolio analysisrisk managementrisk measure

Mathematics Subject Classification ID

Actuarial mathematics (91G05) Statistical methods; risk measures (91G70)

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