On the generalized risk measures

DOI10.1007/S11766-012-2979-4zbMath1289.91101OpenAlexW1968061273MaRDI QIDQ377908

Aili Zhang, Wenyuan Wang, Hu, Yijun

Publication date: 19 November 2013

Published in: Applied Mathematics. Series B (English Edition) (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11766-012-2979-4

zbMATH Keywords

distortionrisk measurerobust representationcash subadditivity

Mathematics Subject Classification ID

Utility theory (91B16)

Related Items (1)

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Cites Work

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• Risk measures with comonotonic subadditivity or convexity and respecting stochastic orders
• Convex measures of risk and trading constraints
• Coherent Measures of Risk
• Risk Measures and Comonotonicity: A Review
• CASH SUBADDITIVE RISK MEASURES AND INTEREST RATE AMBIGUITY
• Stochastic finance. An introduction in discrete time

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