New Risk Measures “<i>VaR</i> to the Power of <i>t</i>” and “<i>ES</i> to the Power of <i>t</i>” and Distortion Risk Measures

Distortion risk measures have been popular in financial and insurance applications in recent years due to their attractive properties. The aim of the article is to investigate whether risk measures “VaR in the power of t”, introduced by the author, belong to the class of distortion risk measures, as...

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Hlavní autor:	V. B Minasyan
Médium:	Artigo
Jazyk:	Russo
Vydáno:	Government of the Russian Federation, Financial University 2020-12-01
Edice:	Финансы: теория и практика
Témata:	catastrophic risks distortion risk measures distortion functions composite method coherent risk measures risk measures “var to the power of t” risk measures “es to the power of t”
On-line přístup:	https://financetp.fa.ru/jour/article/view/1094
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