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...
Sábháilte in:
| Príomhchruthaitheoir: | |
|---|---|
| Formáid: | Artigo |
| Teanga: | Russo |
| Foilsithe / Cruthaithe: |
Government of the Russian Federation, Financial University
2020-12-01
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| Sraith: | Финансы: теория и практика |
| Ábhair: | |
| Rochtain ar líne: | https://financetp.fa.ru/jour/article/view/1094 |
| Clibeanna: |
Níl clibeanna ann, Bí ar an gcéad duine le clib a chur leis an taifead seo!
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