A Review and Some Complements on Quantile Risk Measures and Their Domain

Sebastian Fuchs, Ruben Schlotter, Klaus D. Schmidt

Publikation: Beitrag in Fachzeitschrift › Review article › Peer-reviewed

Systematik der Wissenschaftszweige 2012

@article{a0be4747e81f48a58a4f5c86676b1257,

title = "A Review and Some Complements on Quantile Risk Measures and Their Domain",

keywords = "integrated quantile functions, quantile risk measures, spectral risk measures, subadditivity, value at risk, expected shortfall",

author = "Sebastian Fuchs and Ruben Schlotter and Schmidt, {Klaus D.}",

year = "2017",

month = dec,

doi = "10.3390/risks5040059",

language = "English",

volume = "5",

number = "4",

}

TY - JOUR

T1 - A Review and Some Complements on Quantile Risk Measures and Their Domain

AU - Fuchs, Sebastian

AU - Schlotter, Ruben

AU - Schmidt, Klaus D.

PY - 2017/12

Y1 - 2017/12

KW - integrated quantile functions

KW - quantile risk measures

KW - spectral risk measures

KW - subadditivity

KW - value at risk

KW - expected shortfall

U2 - 10.3390/risks5040059

DO - 10.3390/risks5040059

M3 - Review article

SN - 2227-9091

VL - 5

JO - RISKS

JF - RISKS

IS - 4

ER -