Law invariant risk measures and information divergences
Aone-to-one correspondence is drawnbetween lawinvariant risk measures and divergences,which we define as functionals of pairs of probability measures on arbitrary standard Borel spaces satisfying a few natural properties. Divergences include many classical information divergence measures, such as re...
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| Format: | Article |
| Language: | English |
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De Gruyter
2018-11-01
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| Series: | Dependence Modeling |
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| Online Access: | https://doi.org/10.1515/demo-2018-0014 |