Tail subadditivity of distortion risk measures and multivariate tail distortion risk measures
Jun Cai, Ying Wang, Tiantian Mao
| Year of publication: |
July 2017
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|---|---|
| Authors: | Cai, Jun ; Wang, Ying ; Mao, Tiantian |
| Published in: |
Insurance / Mathematics & economics. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 75.2017, p. 105-116
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| Subject: | Generalized GlueVaR | Subadditivity | Tail subadditivity | Tail distortion risk measure | Multivariate tail risk measure | Coherent risk measure | Choquet integral | Capital allocation | Risikomaß | Risk measure | Messung | Measurement | Statistische Verteilung | Statistical distribution | Risiko | Risk | Portfolio-Management | Portfolio selection | Risikomanagement | Risk management | Schätztheorie | Estimation theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.insmatheco.2017.05.004 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011740761