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Distortion riskmetrics on general spaces

Recurso electrónico / Electronic resource
Registro MARC
Tag12Valor
LDR  00000cab a2200000 4500
001  MAP20200029755
003  MAP
005  20200924174423.0
008  200924e20200901bel|||p |0|||b|eng d
040  ‎$a‎MAP‎$b‎spa‎$d‎MAP
084  ‎$a‎6
100  ‎$0‎MAPA20200019121‎$a‎Wang, Qiuqi
24510‎$a‎Distortion riskmetrics on general spaces‎$c‎Qiuqi Wang ,Ruodu Wang, Yunran Wei
520  ‎$a‎The class of distortion riskmetrics is defined through signed Choquet integrals, and it includes many classic risk measures, deviation measures, and other functionals in the literature of finance and actuarial science. We obtain characterization, finiteness, convexity, and continuity results on general model spaces, extending various results in the existing literature on distortion risk measures and signed Choquet integrals. This paper offers a comprehensive toolkit of theoretical results on distortion riskmetrics which are ready for use in applications.
650 4‎$0‎MAPA20080579258‎$a‎Cálculo actuarial
650 4‎$0‎MAPA20080602437‎$a‎Matemática del seguro
650 4‎$0‎MAPA20080627904‎$a‎Ciencias Actuariales y Financieras
700  ‎$0‎MAPA20120008816‎$a‎Wang, Ruodu
7001 ‎$0‎MAPA20200019176‎$a‎Wei, Yunran
7730 ‎$w‎MAP20077000420‎$t‎Astin bulletin‎$d‎Belgium : ASTIN and AFIR Sections of the International Actuarial Association‎$x‎0515-0361‎$g‎01/09/2020 Volumen 50 Número 3 - septiembre 2020 , p. 827-851