Distortion Risk Measures, ROC Curves, and Distortion Divergence
نویسندگان
چکیده
منابع مشابه
Estimation of Distortion Risk Measures
The concept of coherent risk measure was introduced in Artzner et al. (1999). They listed some properties, called axioms of ‘coherence’, that any good risk measure should possess, and studied the (non-)coherence of widely-used risk measure such as Value-atRisk (VaR) and expected shortfall (also known as tail conditional expectation or tail VaR). Kusuoka (2001) introduced two additional axioms c...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2017
ISSN: 1556-5068
DOI: 10.2139/ssrn.2956334