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Characterization of acceptance sets for co-monotone risk measures - MaRDI portal

Characterization of acceptance sets for co-monotone risk measures (Q2397861)

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Characterization of acceptance sets for co-monotone risk measures
scientific article

    Statements

    title
    Characterization of acceptance sets for co-monotone risk measures (English)
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    author
    Marc Oliver Rieger
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    publication date
    24 May 2017
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    zbMATH Keywords
    acceptance set
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    risk measure
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    co-monotonicity
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    convexity
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    value at risk
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    expected shortfall
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    Identifiers

    zbMATH DE Number
    6722904
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    OpenAlex ID
    W2597667703
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