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- W2094267556 abstract "A generalized distortion risk measure is introduced as power of the mean absolute deviation power of a distorted random variable with respect to a location parameter. This class of risk measures extends both the distortion risk measure by Wang and Denneberg and the class of financial risk measures by Pedersen and Satchell, which itself contains the class of Stone. Integral representations and a stop–loss order preserving property of a special up-side risk measure are derived." @default.
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- W2094267556 date "2006-12-01" @default.
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- W2094267556 title "A note on generalized distortion risk measures" @default.
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