Han, Xia; Lin, Liyuan; Wang, Ruodu - 2022
). Defined through a parametric family of risk measures, DQ satisfies three natural properties, namely, non-negativity, location … risk measure. We pay special attention to the two most important classes of risk measures in banking and insurance, the … Value-at-Risk (VaR) and the Expected Shortfall (ES, also called CVaR). DQs based on VaR and ES enjoy many convenient …