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A Framework for Measures of Risk under Uncertainty
A risk analyst assesses potential financial losses based on multiple sources of information.
Parametric measures of variability induced by risk measures
We present a general framework for a comparative theory of variability measures, with a particular focus on the recently introduced one-parameter families of inter-Expected Shortfall differences and inter-expectile differences, that are explored in detail and compared with the widely known and applied inter-quantile differences.
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