Autor:	Thomas Knispel, Hans Föllmer
Rok vydání:	2011
Předmět:	media_common.quotation_subject Pooling Ambiguity Coherence (statistics) Entropic value at risk Convexity Connection (mathematics) Modeling and Simulation Statistics Large deviations theory Statistical physics media_common Entropic risk measure Mathematics
Zdroj:	Stochastics and Dynamics. 11:333-351
ISSN:	1793-6799 0219-4937
DOI:	10.1142/s0219493711003334
Popis:	We study a coherent version of the entropic risk measure, both in the law-invariant case and in a situation of model ambiguity. In particular, we discuss its behavior under the pooling of independent risks and its connection with a classical and a robust large deviations bound.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::57904002cfdd82df9eef5c19e7af99e2 https://doi.org/10.1142/s0219493711003334 Zobrazit plný text záznamu