Deprecated: $wgMWOAuthSharedUserIDs=false is deprecated, set $wgMWOAuthSharedUserIDs=true, $wgMWOAuthSharedUserSource='local' instead [Called from MediaWiki\HookContainer\HookContainer::run in /var/www/html/w/includes/HookContainer/HookContainer.php at line 135] in /var/www/html/w/includes/Debug/MWDebug.php on line 372
scientific article - MaRDI portal

scientific article

From MaRDI portal

zbMath1149.91320MaRDI QIDQ3526970

Emanuela Rosazza Gianin, Marco Frittelli

Publication date: 25 September 2008


Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.



Related Items

Risk measures with the CxLS property, Dynamic Portfolio Choice When Risk Is Measured by Weighted VaR, Backward stochastic difference equations for dynamic convex risk measures on a binomial tree, Dual characterization of properties of risk measures on Orlicz hearts, On the Measurement of Economic Tail Risk, Benchmarking in two price financial markets, Robust spectral risk optimization when the subjective risk aversion is ambiguous: a moment-type approach, On the use of the terminal-value approach in risk-value models, Portfolio Optimization with Quasiconvex Risk Measures, Law-invariant functionals that collapse to the mean: beyond convexity, How Superadditive Can a Risk Measure Be?, Multivariate convex risk statistics with scenario analysis, Optimal reinsurance with model uncertainty and Stackelberg game, Set-valued risk statistics with scenario analysis, Optimal reinsurance under general law-invariant risk measures, Statistical estimation of composite risk functionals and risk optimization problems, Time-Coherent Risk Measures for Continuous-Time Markov Chains, On the link between monetary and star-shaped risk measures, Representation results for law invariant time consistent functions, Risk forms: representation, disintegration, and application to partially observable two-stage systems, VALUATIONS AND DYNAMIC CONVEX RISK MEASURES, Distorted probability operator for dynamic portfolio optimization in times of socio-economic crisis, A note on convex risk statistic, Duality and stable compactness in Orlicz-type modules, An axiomatic approach to default risk and model uncertainty in rating systems, Risk-hedging a European option with a convex risk measure and without no-arbitrage condition, Risk Aversion in Regulatory Capital Principles, WEIGHTED COMONOTONIC RISK SHARING UNDER HETEROGENEOUS BELIEFS, Fatou property, representations, and extensions of law-invariant risk measures on general Orlicz spaces, CONIC TRADING IN A MARKOVIAN STEADY STATE, SET-VALUED LAW INVARIANT COHERENT AND CONVEX RISK MEASURES, Maximum Lebesgue extension of monotone convex functions, A supermartingale relation for multivariate risk measures, Comonotone Pareto optimal allocations for law invariant robust utilities on \(L^1\), Dynamic risk measures: Time consistency and risk measures from BMO martingales, Extending dynamic convex risk measures from discrete time to continuous time: a convergence approach, A REPRESENTATION RESULT FOR CONCAVE SCHUR CONCAVE FUNCTIONS, On a class of law invariant convex risk measures, Risk preferences on the space of quantile functions, ASYMPTOTIC EQUIVALENCE OF RISK MEASURES UNDER DEPENDENCE UNCERTAINTY, Kusuoka representations of coherent risk measures in general probability spaces, SET-VALUED DYNAMIC RISK MEASURES FOR BOUNDED DISCRETE-TIME PROCESSES, Maximization of AUC and buffered AUC in binary classification, Optimal risk sharing with non-monotone monetary functionals, Disentangling price, risk and model risk: V\&R measures, Certainty equivalent measures of risk, Are law-invariant risk functions concave on distributions?, Worst case portfolio vectors and diversification effects, A remark on law invariant convex risk measures, Time consistency conditions for acceptability measures, with an application to tail value at risk, Law invariant risk measures and information divergences, Law-invariant functionals that collapse to the mean, A composition between risk and deviation measures, Dynamic assessment indices, Optimal capital and risk allocations for law- and cash-invariant convex functions, A Theory for Measures of Tail Risk, Time consistent dynamic risk processes, Convex risk functionals: representation and applications, A survey of time consistency of dynamic risk measures and dynamic performance measures in discrete time: LM-measure perspective, Risk-Averse Models in Bilevel Stochastic Linear Programming, Quantile-Based Risk Sharing, Surplus-Invariant, Law-Invariant, and Conic Acceptance Sets Must Be the Sets Induced by Value at Risk, CAPITAL ALLOCATION FOR SET-VALUED RISK MEASURES, Optimal risk sharing with different reference probabilities, RISK MEASURES ON ORLICZ HEARTS, RISK MEASURES: RATIONALITY AND DIVERSIFICATION, Law-Invariant Functionals on General Spaces of Random Variables, An overview of representation theorems for static risk measures, Regulatory arbitrage of risk measures, Mathematical Foundations of Distributionally Robust Multistage Optimization, Quasiconvex risk statistics with scenario analysis, Coherent Distortion Risk Measures and Higher-Order Stochastic Dominances, Adjusted Rényi entropic value-at-risk, DYNAMIC COHERENT ACCEPTABILITY INDICES AND THEIR APPLICATIONS TO FINANCE, RISK MEASURES ON P(R) AND VALUE AT RISK WITH PROBABILITY/LOSS FUNCTION