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The Price of Dynamic Inconsistency for Distortion Risk Measures
The Price of Dynamic Inconsistency Distortion Risk Measures potentially inconsistent behavior.
2011/7/4
A proper framework for measuring and mitigating risk in dynamic settings is of utmost importance,
on both a practical, as well as a theoretical level. In recent years, coherent risk measures have eme...
Distortion risk measures for sums of dependent losses
Coherence Dependence structure Distortion function Risk measure Risk theory insurance Wang transform
2011/7/5
We discuss two distinct approaches, for distorting risk measures of sums of dependent random variables,
which preserve the property of coherence. The first, based on distorted expectations, operates ...