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  • Photo du rédacteurHélène Dufour

Stochastic measure distortions induced by quantile processes for risk quantification and valuation

" The introduced valuation principle relies on stochastic ordering so that the valuation risk-loading, and thus risk premiums, generated by the measure distortion is an ordered parametric family. The quantile processes are generated by a composite map consisting of a distribution and a quantile function."


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