Distribution-Invariant Risk Measures, Entropy, and Large Deviations (Q5443699)
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scientific article; zbMATH DE number 5238080
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Distribution-Invariant Risk Measures, Entropy, and Large Deviations |
scientific article; zbMATH DE number 5238080 |
Statements
Distribution-Invariant Risk Measures, Entropy, and Large Deviations (English)
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22 February 2008
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risk measure
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average value at risk
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shortfall risk
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Monte Carlo
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large deviations principle
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Sanov's theorem
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relative entropy
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