Upper bounds for strictly concave distortion risk measures on moment spaces
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Publication:1799647
DOI10.1016/j.insmatheco.2018.07.002zbMath1416.91167OpenAlexW2884852435MaRDI QIDQ1799647
Steven Vanduffel, Ludger Rüschendorf, Dries Cornilly
Publication date: 19 October 2018
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2018.07.002
Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)
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