Computing and Estimating Distortion Risk Measures: How to Handle Analytically Intractable Cases?

DOI10.1080/10920277.2022.2137201OpenAlexW4310433381MaRDI QIDQ6192612

Vytaras Brazauskas, Unnamed Author

Publication date: 13 February 2024

Published in: North American Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/10920277.2022.2137201

zbMATH Keywords

two-sided boundsdistortion risk measures

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Actuarial mathematics (91G05)

Cites Work

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