Upper bounds for strictly concave distortion risk measures on moment spaces
D. Cornilly, L. Rüschendorf, S. Vanduffel
| Year of publication: |
September 2018
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|---|---|
| Authors: | Cornilly, D. ; Rüschendorf, Ludger ; Vanduffel, Steven |
| Published in: |
Insurance / Mathematics & economics. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 82.2018, p. 141-151
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| Subject: | Value-at-Risk (vaR) | Coherent risk measure | Model uncertainty | Cantelli bound | Distortion function | Theorie | Theory | Risikomaß | Risk measure | Messung | Measurement | Risiko | Risk | Portfolio-Management | Portfolio selection |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.insmatheco.2018.07.002 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011929851