Set-valued loss-based risk measures

DOI10.1007/S11117-017-0550-5zbMath1396.91814OpenAlexW2782298201MaRDI QIDQ1670444

Fei Sun, Hu, Yijun, Yan-Hong Chen

Publication date: 5 September 2018

Published in: Positivity (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11117-017-0550-5

zbMATH Keywords

risk measureset-valuedloss-based

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Set-valued functions (26E25)

Related Items (6)

SET-VALUED CASH SUB-ADDITIVE RISK MEASURES ⋮ Regulator-based risk statistics with scenario analysis ⋮ CAPITAL ALLOCATION FOR SET-VALUED RISK MEASURES ⋮ Regulator-based risk statistics for portfolios ⋮ Systemic risk statistics with scenario analysis ⋮ MULTIVARIATE DYNAMIC CASH SUB-ADDITIVE RISK MEASURES FOR PROCESSES

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