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20182021
most citedGeneralized Location-Scale Mixtures of Elliptical Distributions: Definitions and Stochastic Comparisons

1 citations · 1 across the 2 of their papers we have counts for

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q-fin.RM2019

Systemic Risk: Conditional Distortion Risk Measures

Jan Dhaene, Roger J. A. Laeven, Yiying Zhang

In this paper, we introduce the rich classes of conditional distortion (CoD) risk measures and distortion risk contribution (CoD) measures as measures of systemic risk and analy…