Properties of Distortion Risk Measures
- 8 July 2008
- journal article
- Published by Springer Nature in Methodology and Computing in Applied Probability
- Vol. 11 (3) , 385-399
Abstract
No abstract availableKeywords
This publication has 20 references indexed in Scilit:
- Can a Coherent Risk Measure Be Too Subadditive?Journal of Risk and Insurance, 2008
- Risk Measures and Comonotonicity: A ReviewStochastic Models, 2006
- Spectral measures of risk: A coherent representation of subjective risk aversionJournal of Banking & Finance, 2002
- Coherent Risk Measures on General Probability Spaces2002
- Value-at-Risk-Based Risk Management: Optimal Policies and Asset PricesThe Review of Financial Studies, 2001
- On law invariant coherent risk measures2001
- Optimization of conditional value-at-riskJournal of Risk, 2000
- Coherent Measures of RiskMathematical Finance, 1999
- An Overview of Value at RiskThe Journal of Derivatives, 1997
- Non-Additive Measure and Integral1994