Remarks on quantiles and distortion risk measures
type: Item
instance of: scholarly article
title: Remarks on quantiles and distortion risk measures
zbMATH Open document ID: 1256.91027
author: J. Dhaene
author: D. Linders
author: A. Kukush
author: Qihe Tang
published in: European Actuarial Journal
publication date: 2013-02-05T00:00:00Z
Mathematics Subject Classification ID: 91B30
Mathematics Subject Classification ID: 62P05
zbMATH DE Number: 6134561
zbMATH Keywords: comonotonicity
zbMATH Keywords: distorted expectation
zbMATH Keywords: distortion risk measure
zbMATH Keywords: TVaR
zbMATH Keywords: quantile
MaRDI profile type: Publication
full work available at URL: s13385-012-0058-0
OpenAlex ID: W2092463994
cites work: An Overview of Comonotonicity and Its Applications in Finance and Insurance
cites work: The concept of comonotonicity in actuarial science and finance: theory.
cites work: The concept of comonotonicity in actuarial science and finance: applications.
cites work: Risk Measures and Comonotonicity: A Review
DOI: 10.1007/S13385-012-0058-0
description: scientific article; zbMATH DE number 6134561