Fuchs, Sebastian; Schlotter, Ruben; Schmidt, Klaus D. - In: Risks 5 (2017) 4, pp. 1-16
In the present paper, we study quantile risk measures and their domain. Our starting point is that, for a probability measure Q on the open unit interval and a wide class L Q of random variables, we define the quantile risk measure ϱ Q as the map that integrates the quantile function of a...