Random distortion risk measures

Cites Work

Title not available (Why is that?)
Title not available (Why is that?)
Title not available (Why is that?)
Title not available (Why is that?)
Title not available (Why is that?)
Stochastic finance. An introduction in discrete time.
Applications of conditional comonotonicity to some optimization problems
Risk measures with comonotonic subadditivity or convexity and respecting stochastic orders
Dynamic capital allocation with distortion risk measures
An optimization approach to the dynamic allocation of economic capital
Properties of distortion risk measures
Dynamic monetary risk measures for bounded discrete-time processes
Stochastic orders
Axiomatic characterization of insurance prices
Convex measures of risk and trading constraints
Stochastic distortion and its transformed copula
Conditional comonotonicity
Insurance pricing and increased limits ratemaking by proportional hazards transforms
Remarks on quantiles and distortion risk measures
A synthesis of risk measures for capital adequacy
Commonotonicity and time-consistency for Lebesgue-continuous monetary utility functions
On optimal reinsurance policy with distortion risk measures and premiums
On dynamic spectral risk measures, a limit theorem and optimal portfolio allocation
Optimal reinsurance minimizing the distortion risk measure under general reinsurance premium principles
Dynamic coherent risk measures
Conditional and dynamic convex risk measures
Optimal reinsurance with premium constraint under distortion risk measures
Systemic risk: conditional distortion risk measures
Conditional coherent risk measures and regime-switching conic pricing
Coherent measures of risk
CVaR hedging using quantization-based stochastic approximation algorithm
Time-consistent decisions and temporal decomposition of coherent risk functionals
Probability and Stochastics
Some properties of distortion risk measures
Risk measurement with equivalent utility principles
Risk Measures and Comonotonicity: A Review
Handbook of Portfolio Construction
An Introduction to the Theory of Point Processes
Time-Consistent Conditional Expectation Under Probability Distortion
Foundations of Modern Probability
Lectures on Stochastic Programming: Modeling and Theory, Third Edition
The Conditional Convex Order and a Comparison Inequality
Conditional Risk Mappings
On dependence consistency of CoVaRand some other systemic risk measures
Economic Capital Allocation Derived from Risk Measures
Distortion Risk Measures and Economic Capital
Fundamentals of Nonparametric Bayesian Inference
Simulation of Tempered Stable Lévy Bridges and Its Applications
Optimal reinsurance designs based on risk measures: a review
Probability theory. A comprehensive course
Conditional quantiles: an operator-theoretical approach

This page was built for publication: Random distortion risk measures

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6543148)