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• W2299681696 abstract "We propose a generalization of the classical notion of the V @ R λ that takes into account not only the probability of the losses, but the balance between such probability and the amount of the loss. This is obtained by defining a new class of law invariant risk measures based on an appropriate family of acceptance sets. The V @ R λ and other known law invariant risk measures turn out to be special cases of our proposal. We further prove the dual representation of Risk Measures on ." @default.
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• W2299681696 date "2013-02-18" @default.
• W2299681696 modified "2023-10-14" @default.
• W2299681696 title "RISK MEASURES ON P(R) AND VALUE AT RISK WITH PROBABILITY/LOSS FUNCTION" @default.
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• W2299681696 doi "https://doi.org/10.1111/mafi.12028" @default.
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