Risk measure preserving piecewise linear approximation of empirical distributions (Q303730)
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scientific article; zbMATH DE number 6618637
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Risk measure preserving piecewise linear approximation of empirical distributions |
scientific article; zbMATH DE number 6618637 |
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Risk measure preserving piecewise linear approximation of empirical distributions (English)
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22 August 2016
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Monte Carlo simulation
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empirical distribution
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piecewise linear distribution
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compression
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coherent risk measures
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TVaR
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