期刊
ANNALS OF OPERATIONS RESEARCH
卷 -, 期 -, 页码 -出版社
SPRINGER
DOI: 10.1007/s10479-022-04885-z
关键词
Risk measures; Utility functions; Qualitative robustness; Continuity
资金
- SNF [100018-189191]
We contribute to the literature on statistical robustness of risk measures by computing the index of qualitative robustness for risk measures based on utility functions. This problem is intimately related to finding the natural domain of finiteness and continuity of such risk measures.
We contribute to the literature on statistical robustness of risk measures by computing the index of qualitative robustness for risk measures based on utility functions. This problem is intimately related to finding the natural domain of finiteness and continuity of such risk measures.
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