ASYMPTOTIC EQUIVALENCE OF RISK MEASURES UNDER DEPENDENCE UNCERTAINTY-Reference-Cited by-同舟云学术

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ASYMPTOTIC EQUIVALENCE OF RISK MEASURES UNDER DEPENDENCE UNCERTAINTY

Published:2016-11-17 Issue:1 Volume:28 Page:29-49
ISSN:0960-1627
Container-title:Mathematical Finance
language:en
Short-container-title:Mathematical Finance

Author:

Cai Jun¹,Liu Haiyan¹,Wang Ruodu¹

Affiliation:

1. University of Waterloo

Funder

Natural Sciences and Engineering Research Council of Canada

University of Waterloo

China Scholarship Council

Publisher

Wiley

Subject

Applied Mathematics,Economics and Econometrics,Social Sciences (miscellaneous),Finance,Accounting

Link

http://onlinelibrary.wiley.com/wol1/doi/10.1111/mafi.12140/fullpdf

Reference39 articles.

1. Spectral Measures of Risk: A Coherent Representation of Subjective Risk Aversion;Acerbi;J. Banking Finance,2002

2. Coherent Measures of Risk;Artzner;Math. Finance,1999

3. Stochastic Orders and Risk Measures: Consistency and Bounds;Bäuerle;Insur. Math. Econ.,2006

4. Optimal Insurance Design under Rank-Dependent Expected Utility;Bernard;Math. Finance,2015

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