Time consistency of multi-period distortion measures
type: Item
instance of: scholarly article
title: Time consistency of multi-period distortion measures
zbMATH Open document ID: 1470.91329
author: Vicky Fasen
author: Adéla Švejda
published in: Statistics \& Risk Modeling
publication date: 2021-08-05T00:00:00Z
full work available at URL: http://hdl.handle.net/20.500.11850/56084
Mathematics Subject Classification ID: 91G70
Mathematics Subject Classification ID: 91G10
zbMATH DE Number: 7379102
zbMATH Keywords: acceptability measure
zbMATH Keywords: conditional consistency
zbMATH Keywords: coherence
zbMATH Keywords: distortion measure
zbMATH Keywords: dynamic consistency
zbMATH Keywords: risk measure
zbMATH Keywords: sequential consistency
zbMATH Keywords: time-consistency
zbMATH Keywords: tail-value-at-risk
MaRDI profile type: Publication
OpenAlex ID: W2242816965
DOI: 10.1524/STRM.2012.1115
description: scientific article; zbMATH DE number 7379102