Risk Aversion in Regulatory Capital Principles
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Publication:5112721
DOI10.1137/18M121842XzbMath1443.91254MaRDI QIDQ5112721
Publication date: 8 June 2020
Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)
Inequalities; stochastic orderings (60E15) Statistical methods; risk measures (91G70) Actuarial mathematics (91G05)
Related Items (13)
Star-Shaped Risk Measures ⋮ Law-invariant functionals that collapse to the mean: beyond convexity ⋮ Risk aggregation under dependence uncertainty and an order constraint ⋮ Bayes risk, elicitability, and the Expected Shortfall ⋮ Ordering and inequalities for mixtures on risk aggregation ⋮ An elementary proof of the dual representation of expected shortfall ⋮ Pairwise counter-monotonicity ⋮ Adjusted higher-order expected shortfall ⋮ A Theory for Measures of Tail Risk ⋮ On the extension property of dilatation monotone risk measures ⋮ Star-shaped deviations ⋮ Adjusted Rényi entropic value-at-risk ⋮ Short Communication: Minimal Quantile Functions Subject to Stochastic Dominance Constraints
Uses Software
Cites Work
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