Adjusted higher-order expected shortfall
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DOI: 10.1016/j.insmatheco.2023.12.006
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More about this item
Keywords
Convex risk measure; Coherent risk measure; Higher-order expected shortfall; Risk profile; Dual increasing convex order; Dual representation;All these keywords.
JEL classification:
- D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
- G22 - Financial Economics - - Financial Institutions and Services - - - Insurance; Insurance Companies; Actuarial Studies
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