Extreme-aggregation measures in the RDEU model
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DOI: 10.1016/j.spl.2019.01.023
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Cited by:
- Weiwei Li & Dejian Tian, 2023. "Robust optimized certainty equivalents and quantiles for loss positions with distribution uncertainty," Papers 2304.04396, arXiv.org.
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Keywords
Distortion risk measure; Shortfall risk measure; Coherent risk measure; Rank-dependent expected utility;All these keywords.
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