DISTORTION RISKMETRICS ON GENERAL SPACES
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Publication:5140082
DOI10.1017/asb.2020.14zbMath1454.91208OpenAlexW3035455029MaRDI QIDQ5140082
Qiuqi Wang, Yunran Wei, Ruodu Wang
Publication date: 13 December 2020
Published in: ASTIN Bulletin (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1017/asb.2020.14
Related Items (12)
On quantile based co-risk measures and their estimation ⋮ Optimal insurance to maximize RDEU under a distortion-deviation premium principle ⋮ Parametric measures of variability induced by risk measures ⋮ Risk measures induced by efficient insurance contracts ⋮ Preference robust state-dependent distortion risk measure on act space and its application in optimal decision making ⋮ Choquet Regularization for Continuous-Time Reinforcement Learning ⋮ Bowley reinsurance with asymmetric information: a first-best solution ⋮ Probability equivalent level of value at risk and higher-order expected shortfalls ⋮ Bounds for Gini's mean difference based on first four moments, with some applications ⋮ Assessing the difference between integrated quantiles and integrated cumulative distribution functions ⋮ Generalized PELVE and applications to risk measures ⋮ An optimal transport-based characterization of convex order
Uses Software
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