Generalized quantiles as risk measures

Author:

Bellini Fabio,Klar BernhardORCID,Müller Alfred,Rosazza Gianin Emanuela

Publisher

Elsevier BV

Subject

Statistics, Probability and Uncertainty,Economics and Econometrics,Statistics and Probability

Reference37 articles.

1. Lectures on Functional Equations and Their Applications;Aczel,1966

2. Stochastic orders and risk measures: consistency and bounds;Bäuerle;Insurance: Mathematics & Economics,2006

3. Isotonicity results for generalized quantiles;Bellini;Statistics & Probability Letters,2012

4. Haezendonck–Goovaerts risk measures and Orlicz quantiles;Bellini;Insurance: Mathematics & Economics,2012

5. An old–new concept of convex risk measures: the optimized certainty equivalent;Ben-Tal;Mathematical Finance,2007

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