A note on the induction of comonotonic additive risk measures from acceptance sets
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Publication:6540896
DOI10.1016/j.spl.2024.110044zbMath1537.91362MaRDI QIDQ6540896
Samuel Soares Santos, Marlon Ruoso Moresco, Marcelo Brutti Righi, Eduardo Horta
Publication date: 17 May 2024
Published in: Statistics \& Probability Letters (Search for Journal in Brave)
risk measurescomonotonicityacceptance setsdeviation measurescomonotonic additive deviation measurescomonotonic additive risk measures
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