Upper bounds for strictly concave distortion risk measures on moment spaces
Year of publication: |
September 2018
|
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Authors: | Cornilly, D. ; Rüschendorf, Ludger ; Vanduffel, Steven |
Published in: |
Insurance / Mathematics & economics. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 82.2018, p. 141-151
|
Subject: | Value-at-Risk (vaR) | Coherent risk measure | Model uncertainty | Cantelli bound | Distortion function | Theorie | Theory | Risikomaß | Risk measure | Messung | Measurement | Risiko | Risk | Portfolio-Management | Portfolio selection |
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