Upper bounds for strictly concave distortion risk measures on moment spaces
type: Item
instance of: scholarly article
title: Upper bounds for strictly concave distortion risk measures on moment spaces
zbMATH Open document ID: 1416.91167
author: Steven Vanduffel
author: Dries Cornilly
author: Ludger Rüschendorf
published in: Insurance Mathematics \& Economics
publication date: 2018-10-19T00:00:00Z
Mathematics Subject Classification ID: 91B30
Mathematics Subject Classification ID: 91G70
Mathematics Subject Classification ID: 62P05
zbMATH DE Number: 6958596
zbMATH Keywords: value-at-risk (VaR)
zbMATH Keywords: coherent risk measure
zbMATH Keywords: model uncertainty
zbMATH Keywords: Cantelli bound
zbMATH Keywords: distortion function
describes a project that uses: QRM
MaRDI profile type: Publication
full work available at URL: j.insmatheco.2018.07.002
OpenAlex ID: W2884852435
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Wikidata QID: Q129453805
DOI: 10.1016/J.INSMATHECO.2018.07.002
description: scientific article; zbMATH DE number 6958596