Dynamic robust Orlicz premia and Haezendonck-Goovaerts risk measures

DOI10.1016/j.ejor.2019.08.049zbMath1487.91025OpenAlexW2970847259WikidataQ127306969 ScholiaQ127306969MaRDI QIDQ2030696

Emanuela Rosazza Gianin, Roger J. A. Laeven, Fabio Bellini

Publication date: 7 June 2021

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2019.08.049

zbMATH Keywords

risk analysistime-consistencyambiguity averse preferencesHaezendonck-Goovaerts risk measuresOrlicz premia

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Utility theory (91B16) Risk models (general) (91B05)

Related Items (3)

Automatic Fatou property of law-invariant risk measures ⋮ Estimation of the Haezendonck-Goovaerts risk measure for extreme risks ⋮ Adjusted Rényi entropic value-at-risk

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Risk measures with the CxLS property
• Inference for intermediate Haezendonck-Goovaerts risk measure
• Uncertainty averse preferences
• Representation of the penalty term of dynamic concave utilities
• Asymptotic theory for the empirical Haezendonck-Goovaerts risk measure
• Dual characterization of properties of risk measures on Orlicz hearts
• Dynamic monetary risk measures for bounded discrete-time processes
• Empirical likelihood inference for Haezendonck-Goovaerts risk measure
• Dynamic risk measures: Time consistency and risk measures from BMO martingales
• Some new classes of consistent risk measures
• Time consistent dynamic risk processes
• Ambiguity through confidence functions
• Maxmin expected utility with non-unique prior
• A new premium calculation principle based on Orlicz norms
• Recursive multiple-priors.
• Convex measures of risk and trading constraints
• Robust return risk measures
• Recursiveness of indifference prices and translation-invariant preferences
• Representation results for law invariant time consistent functions
• Haezendonck-Goovaerts risk measure with a heavy tailed loss
• Haezendonck-Goovaerts risk measures and Orlicz quantiles
• Second-order properties of the Haezendonck-Goovaerts risk measure for extreme risks
• Dynamic coherent risk measures
• Conditional and dynamic convex risk measures
• Stochastic Finance
• COMPOSITION OF TIME-CONSISTENT DYNAMIC MONETARY RISK MEASURES IN DISCRETE TIME
• Representation of dynamic time-consistent convex risk measures with jumps
• Risk Tuning with Generalized Linear Regression
• RISK MEASURES ON ORLICZ HEARTS
• DYNAMIC INDIFFERENCE VALUATION VIA CONVEX RISK MEASURES
• Stochastic Differential Utility
• Entropy Coherent and Entropy Convex Measures of Risk
• Optimal Stopping Under Uncertainty in Drift and Jump Intensity
• Robust Portfolio Choice and Indifference Valuation
• Ambiguity Aversion, Robustness, and the Variational Representation of Preferences
• Optimization of Convex Risk Functions
• Conditional Risk Mappings
• Ambiguity, Risk, and Asset Returns in Continuous Time
• DISTRIBUTION‐INVARIANT RISK MEASURES, INFORMATION, AND DYNAMIC CONSISTENCY
• Introduction to a theory of value coherent with the no-arbitrage principle

This page was built for publication: Dynamic robust Orlicz premia and Haezendonck-Goovaerts risk measures