Adjusted higher-order expected shortfall

DOI10.1016/j.insmatheco.2023.12.006OpenAlexW4390511810MaRDI QIDQ6199662

Taizhong Hu, Zhenfeng Zou

Publication date: 21 March 2024

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2023.12.006

zbMATH Keywords

convex risk measurecoherent risk measuredual representationrisk profilehigher-order expected shortfalldual increasing convex order

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70)

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