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  • Search: subject:"Variability measure"
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Year of publication
Subject
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Variability measure 4 Risiko 3 Risk 3 Theorie 3 Theory 3 Measurement 2 Messung 2 Risikomaß 2 Risk measure 2 Allocation 1 Allokation 1 CRE-Shortfall 1 Choquet integral 1 Conditional distribution 1 Cumulative residual entropy 1 Dilation order 1 Dispersive order 1 Distortion 1 Distortion function 1 Entropie 1 Entropy 1 Forecasting model 1 Gini capital allocation 1 Gini coefficient 1 Gini shortfall 1 Gini-Koeffizient 1 Metric 1 Mode 1 Portfolio selection 1 Portfolio-Management 1 Prognoseverfahren 1 Risikomanagement 1 Risk allocation 1 Risk management 1 Scenario analysis 1 Szenariotechnik 1 Unimodality 1
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Online availability
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Undetermined 4
Type of publication
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Article 4
Type of publication (narrower categories)
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Article in journal 3 Aufsatz in Zeitschrift 3
Language
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English 3 Undetermined 1
Author
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Chen, Ouxiang 1 Furman, Edward 1 Hofert, Marius 1 Hu, Taizhong 1 Koike, Takaaki 1 López-Díaz, Miguel 1 Sordo, Miguel A. 1 Suárez-Llorens, Alfonso 1 Wang, Ruodu 1 Zitikis, Ričardas 1
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Published in...
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Insurance / Mathematics & economics 2 Insurance: Mathematics and Economics 1 Journal of banking & finance 1
Source
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ECONIS (ZBW) 3 RePEc 1
Showing 1 - 4 of 4
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Modality for scenario analysis and maximum likelihood allocation
Koike, Takaaki; Hofert, Marius - In: Insurance / Mathematics & economics 97 (2021), pp. 24-43
Persistent link: https://www.econbiz.de/10012491956
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On a family of coherent measures of variability
Hu, Taizhong; Chen, Ouxiang - In: Insurance / Mathematics & economics 95 (2020), pp. 173-182
Persistent link: https://www.econbiz.de/10012420133
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Gini-type measures of risk and variability : gini shortfall, capital allocations, and heavy-tailed risks
Furman, Edward; Wang, Ruodu; Zitikis, Ričardas - In: Journal of banking & finance 83 (2017), pp. 70-84
Persistent link: https://www.econbiz.de/10011816823
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On the Lp-metric between a probability distribution and its distortion
López-Díaz, Miguel; Sordo, Miguel A.; … - In: Insurance: Mathematics and Economics 51 (2012) 2, pp. 257-264
In actuarial theory, the Lp-metric is used to evaluate how well a probability distribution approximates another one. In the context of the distorted expectation hypothesis, the actuary replaces the original probability distribution by a distorted probability, so it makes sense to interpret the...
Persistent link: https://www.econbiz.de/10011046608
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