Constructions of Risk Measures

Cambridge University Press eBooks 2026 Book chapter

View at publisher
Authors: Ilya Molchanov, Johanna F. Ziegel
DOI: 10.1017/9781009710916.007
Cited by: 0

Abstract

This chapter explores various constructions of risk measures, including spectral risk measures, distortion risk measures, and moment-based risk measures, as well as risk measures generated by expected losses.

Fields of Study & Subjects

Risk and Portfolio Optimization Probability and Risk Models Financial Risk and Volatility Modeling

Publication details

Journal / source
Cambridge University Press eBooks
Pages
85–104
Publication date
26 February 2026
Language
EN
Document type
Book chapter