Risk capital allocation by coherent risk measures based on one-sided moments.

Lua error in Module:PublicationMSCList at line 37: attempt to index local 'msc_result' (a nil value).

Related Items (36)

Convex bodies generated by sublinear expectations of random vectors ⋮ RISK-REWARD OPTIMIZATION WITH DISCRETE-TIME COHERENT RISK ⋮ Extremes for coherent risk measures ⋮ On a capital allocation by minimization of some risk indicators ⋮ Nonparametric inference for sensitivity of Haezendonck–Goovaerts risk measure ⋮ A constraint-free approach to optimal reinsurance ⋮ On coherent risk measures induced by convex risk measures ⋮ Extended Gini-Type Measures of Risk and Variability ⋮ Tail nonlinearly transformed risk measure and its application ⋮ Preservation of risk in capital markets ⋮ Variational analysis of norm cones in finite dimensional Euclidean spaces ⋮ Comment on Cenci et al. (2015): ``Half-full or half-empty? A model of decision making under risk ⋮ Convex regularization of local volatility models from option prices: convergence analysis and rates ⋮ CAPITAL ALLOCATION WITH MULTIVARIATE RISK MEASURES: AN AXIOMATIC APPROACH ⋮ Excess based allocation of risk capital ⋮ Capital allocation with multivariate convex risk measures ⋮ Risk contributions: duality and sensitivity ⋮ Asymptotic distribution of law-invariant risk functionals ⋮ Sensitivity of risk measures with respect to the normal approximation of total claim distributions ⋮ AN AXIOMATIC APPROACH TO CAPITAL ALLOCATION ⋮ Coherent risk measures, coherent capital allocations and the gradient allocation principle ⋮ ON TWO APPROACHES TO COHERENT RISK CONTRIBUTION ⋮ A DYNAMIC MODEL OF CENTRAL COUNTERPARTY RISK ⋮ The link between the Shapley value and the beta factor ⋮ Higher moment coherent risk measures ⋮ Insurance with multiple insurers: a game-theoretic approach ⋮ CAPITAL ALLOCATION AND RISK CONTRIBUTION WITH DISCRETE‐TIME COHERENT RISK ⋮ Optimal Risk Transfer: A Numerical Optimization Approach ⋮ Factor risk quantification in annuity models ⋮ A composition between risk and deviation measures ⋮ Uniform limit theorems for functions of order statistics ⋮ Asymptotic consistency of risk functionals ⋮ An axiomatic characterization of capital allocations of coherent risk measures ⋮ Risk optimization with \(p\)-order conic constraints: a linear programming approach ⋮ Extended gradient of convex function and capital allocation ⋮ Performance ratio-based coherent risk measure and its application

Cites Work

This page was built for publication: Risk capital allocation by coherent risk measures based on one-sided moments.