Risk measures with the CxLS property-Reference-Cited by-同舟云学术

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Risk measures with the CxLS property

Published:2015-10-01 Issue:2 Volume:20 Page:433-453
ISSN:0949-2984
Container-title:Finance and Stochastics
language:en
Short-container-title:Finance Stoch

Author:

Delbaen Freddy,Bellini Fabio,Bignozzi Valeria,Ziegel Johanna F.

Publisher

Springer Science and Business Media LLC

Subject

Statistics, Probability and Uncertainty,Finance,Statistics and Probability

Link

http://link.springer.com/content/pdf/10.1007/s00780-015-0279-6.pdf

Reference37 articles.

1. Acerbi, C., Szekely, B.: Backtesting expected shortfall. Risk Mag. 27, 76–81 (2014)

2. Bäuerle, N., Müller, A.: Stochastic orders and risk measures: consistency and bounds. Insur. Math. Econ. 38, 132–148 (2006)

3. Bellini, F., Bignozzi, V.: On elicitable risk measures. Quant. Finance 15, 725–733 (2014)

4. Bellini, F., Di Bernardino, E.: Risk management with expectiles. Eur. J. Finance (2015, in press). Available at http://www.tandfonline.com/doi/full/10.1080/1351847X.2015.1052150

5. Bellini, F., Klar, B., Müller, A., Rosazza Gianin, E.: Generalized quantiles as risk measures. Insur. Math. Econ. 54, 41–48 (2014)

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