Risk quantization by magnitude and propensity

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DOI10.1016/j.insmatheco.2024.02.005zbMath1537.91244MaRDI QIDQ6543152

Gilles Pagès, Olivier P. Faugeras

Publication date: 24 May 2024

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

zbMATH Keywords

risk measure risk management portfolio analysis optimal quantization mass transportation magnitude-propensity

Mathematics Subject Classification ID

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

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