José María Sarabia

University of Cantabria - Department of Economics

Av. Los Castros s/n

Santander 39005, Cantabria 39005

Spain

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Scholarly Papers (1)

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Distortion Risk Measures for Nonnegative Multivariate Risks

Journal of Operational Risk, Vol. 13, No. 2, 2018
Number of pages: 24 Posted: 12 Jun 2018
University of Barcelona, University of Cantabria - Department of Economics, University of Barcelona - Riskcenter-IREA and University of Cantabria - Department of Economics
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Abstract:

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distortion functions; multivariate risk, multiperiod risk assessment, dependence, risk aggregation, multivariate loss.