Law-invariant return and star-shaped risk measures
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Publication:6573820
DOI10.1016/j.insmatheco.2024.04.006zbMATH Open1545.91334MaRDI QIDQ6573820
Roger J. A. Laeven, Emanuela Rosazza Gianin, Marco Zullino
Publication date: 17 July 2024
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
value-at-riskexpected shortfallstar-shapednesslaw-invariancereturn risk measuresSSD- and CSD-consistency
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