Distortion risk measures for nonnegative multivariate risks
Montserrat Guillen, José María Sarabia, Jaume Belles-Sampera and Faustino Prieto
| Year of publication: |
June 2018
|
|---|---|
| Authors: | Guillén, Montserrat ; Sarabia, José María ; Belles-Sampera, Jaume ; Prieto, Faustino |
| Published in: |
The journal of operational risk. - London : Infopro Digital, ISSN 1744-6740, ZDB-ID 2238989-1. - Vol. 13.2018, 2, p. 35-57
|
| Subject: | distortion functions | multivariate risks | multiperiod risk assessment | dependence | risk aggregation | multivariate loss | Risiko | Risk | Risikomaß | Risk measure | Theorie | Theory | Multivariate Analyse | Multivariate analysis | Risikomanagement | Risk management | Messung | Measurement | Risikomodell | Risk model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.21314/JOP.2018.206 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011895037