Robust return risk measures
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Publication:1702877
DOI10.1007/s11579-017-0188-xzbMath1404.91134OpenAlexW3121965462MaRDI QIDQ1702877
Roger J. A. Laeven, Fabio Bellini, Emanuela Rosazza Gianin
Publication date: 1 March 2018
Published in: Mathematics and Financial Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11579-017-0188-x
robustnessconvex risk measurespositive homogeneityshortfall riskOrlicz premiumambiguity averse preferencesOrlicz norms and spaces
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Related Items (12)
Similar risks have similar prices: a useful and exact quantification ⋮ Haezendonck-Goovaerts capital allocation rules ⋮ Can a regulatory risk measure induce profit-maximizing risk capital allocations? The case of conditional tail expectation ⋮ Model spaces for risk measures ⋮ Entropy based risk measures ⋮ Minkowski deviation measures ⋮ Stability properties of Haezendonck-Goovaerts premium principles ⋮ On a robust risk measurement approach for capital determination errors minimization ⋮ Optimal initial capital induced by the optimized certainty equivalent ⋮ Dynamic robust Orlicz premia and Haezendonck-Goovaerts risk measures ⋮ Estimation of the Haezendonck-Goovaerts risk measure for extreme risks ⋮ Conditional expectiles, time consistency and mixture convexity properties
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