Insurance premium-based shortfall risk measure induced by cumulative prospect theory
Year of publication: |
2022
|
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Authors: | Zhang, Sainan ; Xu, Huifu |
Published in: |
Computational management science. - Heidelberg : Springer, ISSN 1619-6988, ZDB-ID 2107564-5. - Vol. 19.2022, 4, p. 703-738
|
Subject: | Cumulative prospect theory | Distortion risk measure | Generalized shortfall risk measure | Insurance premium-based shortfall risk measure | Statistical robustness | Risikomaß | Risk measure | Prospect Theory | Prospect theory | Portfolio-Management | Portfolio selection | Risiko | Risk | Messung | Measurement | Risikomanagement | Risk management |
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