On Bounds for Concave Distortion Risk Measures for Sums of Risks
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More about this item
KeywordsDistortion risk measures; discrete risks; concave risk measure; upper and lower bounds; gap between bounds;
- D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2006-12-04 (All new papers)
- NEP-RMG-2006-12-04 (Risk Management)
- NEP-UPT-2006-12-04 (Utility Models & Prospect Theory)
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