Tail subadditivity of distortion risk measures and multivariate tail distortion risk measures
Year of publication: |
July 2017
|
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Authors: | Cai, Jun ; Wang, Ying ; Mao, Tiantian |
Published in: |
Insurance / Mathematics & economics. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 75.2017, p. 105-116
|
Subject: | Generalized GlueVaR | Subadditivity | Tail subadditivity | Tail distortion risk measure | Multivariate tail risk measure | Coherent risk measure | Choquet integral | Capital allocation | Theorie | Theory | Risikomaß | Risk measure | Messung | Measurement | Risiko | Risk | Statistische Verteilung | Statistical distribution | Portfolio-Management | Portfolio selection | Risikomanagement | Risk management | Ausreißer | Outliers |
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