On Bounds for Concave Distortion Risk Measures for Sums of Risks
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- Antonella Campana & Paola Ferretti, 2008. "Bounds for Concave Distortion Risk Measures for Sums of Risks," Springer Books, in: Cira Perna & Marilena Sibillo (ed.), Mathematical and Statistical Methods in Insurance and Finance, pages 43-51, Springer.
References listed on IDEAS
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More about this item
Keywords
Distortion risk measures; discrete risks; concave risk measure; upper and lower bounds; gap between bounds;All these keywords.
JEL classification:
- D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
NEP fields
This paper has been announced in the following NEP Reports:- NEP-RMG-2006-12-04 (Risk Management)
- NEP-UPT-2006-12-04 (Utility Models and Prospect Theory)
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