462 citations · 706 across the 37 of their papers we have counts for
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q-fin.RM2014★ 2 cited
Risk measures with the CxLS property
Freddy Delbaen, Fabio Bellini, Valeria Bignozzi +1
In the present contribution we characterize law determined convex risk measures that have convex level sets at the level of distributions. By relaxing the assumptions in Weber (200…
q-fin.RM2014★ 2 cited
Distortion Risk Measures and Elicitability
Ruodu Wang, Johanna F. Ziegel
We discuss equivalent axiomatic characterizations of distortion risk measures, and give a novel and concise proof of the characterization of elicitable distortion risk measures. El…