scientific article; zbMATH DE number 1795842

Publication date: 5 October 2003

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

Orlicz spaces quantile subadditivity value at risk coherent risk measure scenario convex games capital requirement submodular functions measure of risk capacity theory shortfall insurance premium principle

Mathematics Subject Classification ID

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

Related Items (only showing first 100 items - show all)

Preference robust models in multivariate utility-based shortfall risk minimization ⋮ Choquet integration on Riesz spaces and dual comonotonicity ⋮ Financial risk measurement with imprecise probabilities ⋮ Star-Shaped Risk Measures ⋮ COHERENT RISK MEASURE ON L0: NA CONDITION, PRICING AND DUAL REPRESENTATION ⋮ Portfolio Optimization with Quasiconvex Risk Measures ⋮ Quantification of risk in classical models of finance ⋮ A Scenario Decomposition Algorithm for Stochastic Programming Problems with a Class of Downside Risk Measures ⋮ Stability in locally $L^{0}$-convex modules and a conditional version of James' compactness theorem ⋮ RISK MARGIN QUANTILE FUNCTION VIA PARAMETRIC AND NON-PARAMETRIC BAYESIAN APPROACHES ⋮ Multivariate elliptical truncated moments ⋮ Characterization of acceptance sets for co-monotone risk measures ⋮ Multivariate convex risk statistics with scenario analysis ⋮ A note on representation of BSDE-based dynamic risk measures and dynamic capital allocations ⋮ Scalar Multivariate Risk Measures with a Single Eligible Asset ⋮ Optimal reinsurance under general law-invariant risk measures ⋮ The least squares estimator of random variables under sublinear expectations ⋮ Haezendonck-Goovaerts capital allocation rules ⋮ Time-Coherent Risk Measures for Continuous-Time Markov Chains ⋮ Conditional coherent risk measures and regime-switching conic pricing ⋮ Markov chains under nonlinear expectation ⋮ Mean‐ portfolio selection and ‐arbitrage for coherent risk measures ⋮ A composite risk measure framework for decision making under uncertainty ⋮ CAPITAL ALLOCATION WITH MULTIVARIATE RISK MEASURES: AN AXIOMATIC APPROACH ⋮ Risk measuring under model uncertainty ⋮ Sensitivity Analysis in Applications with Deviation, Risk, Regret, and Error Measures ⋮ Optimal insurance under maxmin expected utility ⋮ Capital allocation with multivariate convex risk measures ⋮ Markov risk mappings and risk-sensitive optimal prediction ⋮ Risk measuring under liquidity risk ⋮ Choosing a random distribution with prescribed risks ⋮ Tail distortion risk and its asymptotic analysis ⋮ A sufficient and necessary condition of PS-ergodicity of periodic measures and generated ergodic upper expectations ⋮ Risk Measures and Progressive Enlargement of Filtration: A BSDE Approach ⋮ DISTORTION RISKMETRICS ON GENERAL SPACES ⋮ Coherent and convex risk measures for portfolios with applications ⋮ Multivariate Shortfall Risk Allocation and Systemic Risk ⋮ Aggregation of opinions and risk measures ⋮ Optimal risk sharing with non-monotone monetary functionals ⋮ On nonlinear expectations and Markov chains under model uncertainty ⋮ When a combination of convexity and continuity forces monotonicity of preferences ⋮ Scenario-based risk evaluation ⋮ Large deviations bounds for estimating conditional value-at-risk ⋮ Ergodicity of Sublinear Markovian Semigroups ⋮ A unifying approach to integration for bounded positive charges ⋮ Bayesian Risk Measures for Derivatives via Random Esscher Transform ⋮ Credit risk optimization using factor models ⋮ Superquantile regression with applications to buffered reliability, uncertainty quantification, and conditional value-at-risk ⋮ Coherent and convex monetary risk measures for bounded càdlàg processes ⋮ Coherent measures of risk in everyday market practice† ⋮ Consistent risk measures for portfolio vectors ⋮ A new class of coherent risk measures based on p‐norms and their applications ⋮ Relevant mappings ⋮ Dynamic systemic risk measures for bounded discrete time processes ⋮ Risk sharing for capital requirements with multidimensional security markets ⋮ Convex Hedging in Incomplete Markets ⋮ Risk measures in ordered normed linear spaces with non-empty cone-interior ⋮ Pricing under dynamic risk measures ⋮ Distribution-Invariant Risk Measures, Entropy, and Large Deviations ⋮ Risk Measures for Portfolio Vectors and Allocation of Risks ⋮ Risk measures via $g$-expectations ⋮ Stochastic orders and risk measures: consistency and bounds ⋮ The strong Fatou property of risk measures ⋮ Law invariant risk measures and information divergences ⋮ A composition between risk and deviation measures ⋮ Conditional nonlinear expectations ⋮ On closedness of law-invariant convex sets in rearrangement invariant spaces ⋮ Multilevel Optimization Modeling for Risk-Averse Stochastic Programming ⋮ Determination of risk pricing measures from market prices of risk ⋮ A survey of time consistency of dynamic risk measures and dynamic performance measures in discrete time: LM-measure perspective ⋮ Risk excess measures induced by hemi-metrics ⋮ Minimax representation of nonexpansive functions and application to zero-sum recursive games ⋮ The PDEs and numerical scheme for derivatives under uncertainty volatility ⋮ Representation of increasing convex functionals with countably additive measures ⋮ Risk-Averse Two-Stage Stochastic Program with Distributional Ambiguity ⋮ Quasi–Monte Carlo integration over $\mathbb {R}^d$ ⋮ The Dynamic Convex Valuation Related to the Price Process in a Market with General Jumps ⋮ CAPITAL ALLOCATION FOR SET-VALUED RISK MEASURES ⋮ Surplus-Invariant Risk Measures ⋮ Is the inf-convolution of law-invariant preferences law-invariant? ⋮ Some properties of distortion risk measures ⋮ Dual representation of monotone convex functions on 𝐿⁰ ⋮ Law-Invariant Functionals on General Spaces of Random Variables ⋮ Closedness of convex sets in Orlicz spaces with applications to dual representation of risk measures ⋮ TERES: Tail Event Risk Expectile Shortfall ⋮ Implied risk aversion: an alternative rating system for retail structured products ⋮ An active-set strategy to solve Markov decision processes with good-deal risk measure ⋮ Time-consistency of risk measures: how strong is such a property? ⋮ Unnamed Item ⋮ Pareto optimal allocations and optimal risk sharing for quasiconvex risk measures ⋮ Dilatation monotonous Choquet integrals ⋮ The restricted convex risk measures in actuarial solvency ⋮ On a subjective approach to risk measurement ⋮ Coherent Distortion Risk Measures and Higher-Order Stochastic Dominances ⋮ A STOCHASTIC CONTROL APPROACH TO BID-ASK PRICE MODELLING ⋮ Model Uncertainty: A Reverse Approach ⋮ CONVEX RISK MEASURES FOR GOOD DEAL BOUNDS ⋮ Four theorems and a financial crisis ⋮ Interaction between financial risk measures and machine learning methods ⋮ Fairness principles for insurance contracts in the presence of default risk

This page was built for publication: