A note on natural risk statistics
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Shabbir Ahmed; Damir FilipoviΔ; Gregor Svindland
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Article
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2008
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Elsevier Science
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English
β 623 KB
Bridging the gaps between robustness, subadditivity, and insurance risk measures, 2007, preprint.] proposed the notion of a natural risk statistic associated with a finite sample that relaxes the subadditivity assumption in the classical coherent risk statistics. In this note we use convex analysis