Details
| Original language | English |
|---|---|
| Pages (from-to) | 333-351 |
| Journal | Stochastics and Dynamics |
| Volume | 2011 |
| Issue number | 11(2-3) |
| Publication status | Published - 2011 |
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In: Stochastics and Dynamics, Vol. 2011, No. 11(2-3), 2011, p. 333-351.
Research output: Contribution to journal › Article › Research › peer review
}
TY - JOUR
T1 - Entropic risk measures: coherence vs. convexity, model ambiguity, and robust large deviations
AU - Knispel, Thomas
AU - Föllmer, Hans
N1 - Funding information: Thanks are due to Shigeo Kusuoka for a stimulating discussion and to an anonymous referee for several helpful comments. In part the results were obtained while the first author was visiting LMU Munich, funded by LMU Excellent; this support is gratefully acknowledged. For both authors, it is a special pleasure to dedicate this paper to Peter Imkeller on the occasion of his 60th birthday.
PY - 2011
Y1 - 2011
UR - https://www.insurance.uni-hannover.de/fileadmin/house-of-insurance/People/knispel_thomas/EntropicRisk.pdf
M3 - Article
VL - 2011
SP - 333
EP - 351
JO - Stochastics and Dynamics
JF - Stochastics and Dynamics
SN - 0219-4937
IS - 11(2-3)
ER -