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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| Format: | Article |
| Language: | Russian |
| Published: |
Government of the Russian Federation, Financial University
2021-12-01
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| Series: | Финансы: теория и практика |
| Subjects: | |
| Online Access: | https://financetp.fa.ru/jour/article/view/1387 |
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