On convex risk measures on Lp-spaces

Mathematical Methods of Operations Research

Volumn 69, Issue 3, 2009, Pages 475-495

  Kaina, M ^a   Ruschendorf L ^a  

^a UNIVERSITY OF FREIBURG   (Germany)

Author keywords

Convex risk measure; Expected shortfall; Optimal risk allocation

Indexed keywords

CONVEX RISK MEASURE; CONVEX RISK MEASURES; EXPECTED SHORTFALL; OPTIMAL RISK ALLOCATION; RISK ALLOCATION; RISK MEASURES; ROBUSTNESS PROPERTIES; SHORTFALL RISK;

ASYMPTOTIC ANALYSIS; HEALTH HAZARDS; OPTIMIZATION; RANDOM VARIABLES;

RISK ASSESSMENT;

EID: 65949089085     PISSN: 14322994     EISSN: 14325217     Source Type: Journal    
DOI: 10.1007/s00186-008-0248-3     Document Type: Article

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