Distortion riskmetrics on general spaces

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Articles Articles Distortion riskmetrics on general spaces - Wang, Qiuqi

Collection: Articles

Title: Distortion riskmetrics on general spaces / Qiuqi Wang ,Ruodu Wang, Yunran Wei

Author: Wang, Qiuqi Icono con lupa

Notes: Sumario: The class of distortion riskmetrics is defined through signed Choquet integrals, and it includes many classic risk measures, deviation measures, and other functionals in the literature of finance and actuarial science. We obtain characterization, finiteness, convexity, and continuity results on general model spaces, extending various results in the existing literature on distortion risk measures and signed Choquet integrals. This paper offers a comprehensive toolkit of theoretical results on distortion riskmetrics which are ready for use in applications.

Other authors: Wang, Ruodu Icono con lupa
Wei, Yunran Icono con lupa

Other categories: 6

Derechos: In Copyright (InC): http://rightsstatements.org/vocab/InC/1.0/

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