Scenario-based risk evaluation
From MaRDI portal
Publication:2238773
DOI10.1007/s00780-021-00460-9zbMath1476.91222arXiv1808.07339OpenAlexW3198744134MaRDI QIDQ2238773
Publication date: 2 November 2021
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1808.07339
Related Items (6)
An impossibility theorem on capital allocation ⋮ Star-Shaped Risk Measures ⋮ Optimal reinsurance with general premium principles based on RVaR and WVaR ⋮ A framework for measures of risk under uncertainty ⋮ An axiomatic approach to default risk and model uncertainty in rating systems ⋮ Distributional compatibility for change of measures
Uses Software
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Higher order elicitability and Osband's principle
- Multivariate Archimedean copulas, \(d\)-monotone functions and \(\ell _{1}\)-norm symmetric distributions
- Aggregation-robustness and model uncertainty of regulatory risk measures
- Maxmin expected utility with non-unique prior
- Non-additive measure and integral
- Convex measures of risk and trading constraints
- Ambiguity aversion and model misspecification: an economic perspective
- Remarks on quantiles and distortion risk measures
- Distributional compatibility for change of measures
- Commonotonicity and time-consistency for Lebesgue-continuous monetary utility functions
- Domains of weak continuity of statistical functionals with a view toward robust statistics
- Ambiguity and robust statistics
- Generalized deviations in risk analysis
- Coherent Measures of Risk
- Mathematical Risk Analysis
- Worst-Case Conditional Value-at-Risk with Application to Robust Portfolio Management
- On the Measurement of Economic Tail Risk
- Law invariant risk measures have the Fatou property
- Integral Representation Without Additivity
- The Dual Theory of Choice under Risk
- Quantile-Based Risk Sharing
- External Risk Measures and Basel Accords
- A Definition of Subjective Probability
- Stochastic finance. An introduction in discrete time
This page was built for publication: Scenario-based risk evaluation
