Refinements of Kusuoka representations on L∞

DOI10.1080/02331934.2022.2038152zbMath1505.91416OpenAlexW4213376541MaRDI QIDQ5044104

Kerem Uğurlu

Publication date: 24 October 2022

Published in: Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02331934.2022.2038152

zbMATH Keywords

coherent risk measuresaverage value-at-risklaw invariancerobust performance measurescomonotonic risk measures

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Financial applications of other theories (91G80)

Related Items (1)

Price and service-level decisions and channel coordination under disruption of social welfare responsibility degree

Cites Work

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• Minimal representation of insurance prices
• Kusuoka representation of higher order dual risk measures
• Coherent Measures of Risk
• Constructing Uncertainty Sets for Robust Linear Optimization
• On Kusuoka Representation of Law Invariant Risk Measures

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