New risk measures for variance distortion and catastrophic financial risk measures

In recent years, expectation distortion risk measures have been widely used in financial and insurance applications due to their attractive properties. The author introduced two new classes of financial risk measures “VaR raised to the power of t” and “ES raised to the power of t” in his works and a...

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主要作者:	V. B. Minasyan
格式:	Artigo
語言:	Russo
出版:	Government of the Russian Federation, Financial University 2021-12-01
叢編:	Финансы: теория и практика
主題:	catastrophic financial risks expectation distortion risk measures variance distortion risk measures, distortion functions composite method coherent financial risk measures “var raised to the power of t” risk measures “es raised to the power of t” risk measures
在線閱讀:	https://financetp.fa.ru/jour/article/view/1387
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