On a relationship between distorted and spectral risk measures
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- Henryk, Gzyl & Silvia, Mayoral, 2006. "On a relationship between distorted and spectral risk measures," MPRA Paper 916, University Library of Munich, Germany.
References listed on IDEAS
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Gzyl, Henryk & Mayoral, Silvia, 2008.
"Determination of risk pricing measures from market prices of risk,"
Insurance: Mathematics and Economics,
Elsevier, vol. 43(3), pages 437-443, December.
- Henryk Gzyl & Silvia Mayoral, 2007. "Determination of Risk Pricing Measures from Market Prices of Risk," Faculty Working Papers 03/07, School of Economics and Business Administration, University of Navarra.
More about this item
KeywordsCoherent risk measure; Distortion function; Spectral measures; risk aversion function.Spectral measu;
- J13 - Labor and Demographic Economics - - Demographic Economics - - - Fertility; Family Planning; Child Care; Children; Youth
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