Loss-Based Risk Measures
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References listed on IDEAS
- Acerbi, Carlo, 2002. "Spectral measures of risk: A coherent representation of subjective risk aversion," Journal of Banking & Finance, Elsevier, vol. 26(7), pages 1505-1518, July.
- Rama Cont & Romain Deguest & Giacomo Scandolo, 2010. "Robustness and sensitivity analysis of risk measurement procedures," Quantitative Finance, Taylor & Francis Journals, vol. 10(6), pages 593-606.
- Elyès Jouini & Walter Schachermayer & Nizar Touzi, 2006. "Law Invariant Risk Measures Have the Fatou Property," Post-Print halshs-00176522, HAL.
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- Song, Yongsheng & Yan, Jia-An, 2009. "Risk measures with comonotonic subadditivity or convexity and respecting stochastic orders," Insurance: Mathematics and Economics, Elsevier, vol. 45(3), pages 459-465, December.
- Frittelli, Marco & Rosazza Gianin, Emanuela, 2002. "Putting order in risk measures," Journal of Banking & Finance, Elsevier, vol. 26(7), pages 1473-1486, July.
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- repec:dau:papers:123456789/342 is not listed on IDEAS
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- Zimny, Jacek & Michalak, Piotr & Szczotka, Krzysztof, 2015. "Polish heat pump market between 2000 and 2013: European background, current state and development prospects," Renewable and Sustainable Energy Reviews, Elsevier, vol. 48(C), pages 791-812.
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More about this item
Keywords
risk measure; coherent risk measure; Fenchel-Legendre transform; Choquet capacity;All these keywords.
NEP fields
This paper has been announced in the following NEP Reports:- NEP-FMK-2011-10-15 (Financial Markets)
- NEP-MIC-2011-10-15 (Microeconomics)
- NEP-RMG-2011-10-15 (Risk Management)
- NEP-UPT-2011-10-15 (Utility Models and Prospect Theory)
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