A note on the induction of comonotonic additive risk measures from acceptance sets-Reference-Cited by-同舟云学术

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A note on the induction of comonotonic additive risk measures from acceptance sets

Published:2024-05 Issue: Volume:208 Page:110044
ISSN:0167-7152
Container-title:Statistics & Probability Letters
language:en
Short-container-title:Statistics & Probability Letters

Author:

Santos Samuel S.^ORCID,Moresco Marlon R.,Righi Marcelo B.,Horta Eduardo

Funder

CAPES

CNPq

Publisher

Elsevier BV

Subject

Statistics, Probability and Uncertainty,Statistics and Probability

Reference39 articles.

1. Dynamic risk measures;Acciaio,2011

2. Spectral measures of risk: A coherent representation of subjective risk aversion;Acerbi;J. Bank. Financ.,2002

3. Coherent measures of risk;Artzner;Math. Finance Int. J. Math. Stat. Financ. Econ.,1999

4. Risk measures and efficient use of capital;Artzner;Astin Bull.,2009

5. On elicitable risk measures;Bellini;Quant. Finance,2015

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