Upper bounds for strictly concave distortion risk measures on moment spaces (Q1799647): Difference between revisions

@@ Property / describes a project that uses @@
+QRM
@@ Property / describes a project that uses: QRM / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / full work available at URL @@
+https://doi.org/10.1016/j.insmatheco.2018.07.002
+Normal rank
@@ Property / OpenAlex ID @@
+W2884852435
@@ Property / OpenAlex ID: W2884852435 / rank @@
+Normal rank
@@ Property / cites work @@
+Coherent Measures of Risk
@@ Property / cites work: Coherent Measures of Risk / rank @@
+Normal rank
@@ Property / cites work @@
+GlueVaR risk measures in capital allocation applications
+Normal rank
@@ Property / cites work @@
+Generalized quantiles as risk measures
@@ Property / cites work: Generalized quantiles as risk measures / rank @@
+Normal rank
@@ Property / cites work @@
+Risk bounds for factor models
@@ Property / cites work: Risk bounds for factor models / rank @@
+Normal rank
@@ Property / cites work @@
+Tail subadditivity of distortion risk measures and multivariate tail distortion risk measures
+Normal rank
@@ Property / cites work @@
+How to estimate the value at risk under incomplete information
+Normal rank
@@ Property / cites work @@
+Extremal generators and extremal distributions for the continuous \(s\)-convex stochastic orderings
+Normal rank
@@ Property / cites work @@
+Stochastic bounds on sums of dependent risks
@@ Property / cites work: Stochastic bounds on sums of dependent risks / rank @@
+Normal rank
@@ Property / cites work @@
+Risk Measures and Comonotonicity: A Review
@@ Property / cites work: Risk Measures and Comonotonicity: A Review / rank @@
+Normal rank
@@ Property / cites work @@
+Aggregation-robustness and model uncertainty of regulatory risk measures
+Normal rank
@@ Property / cites work @@
+Seven proofs for the subadditivity of expected shortfall
+Normal rank
@@ Property / cites work @@
+Generalized Lagrange Multiplier Method for Solving Problems of Optimum Allocation of Resources
+Normal rank
@@ Property / cites work @@
+RISK MEASURES ON P(R) AND VALUE AT RISK WITH PROBABILITY/LOSS FUNCTION
+Normal rank
@@ Property / cites work @@
+Worst-Case Value-At-Risk and Robust Portfolio Optimization: A Conic Programming Approach
+Normal rank
@@ Property / cites work @@
+Worst case risk measurement: back to the future?
@@ Property / cites work: Worst case risk measurement: back to the future? / rank @@
+Normal rank
@@ Property / cites work @@
+The Maxima of the Mean Largest Value and of the Range
+Normal rank
@@ Property / cites work @@
+Improved algorithms for computing worst value-at-risk
+Normal rank
@@ Property / cites work @@
+Analytical Bounds for two Value-at-Risk Functionals
+Normal rank
@@ Property / cites work @@
+Q3656212
@@ Property / cites work: Q3656212 / rank @@
+Normal rank
@@ Property / cites work @@
+Best bounds for positive distributions with fixed moments
+Normal rank
@@ Property / cites work @@
+Worst VaR scenarios with given marginals and measures of association
+Normal rank
@@ Property / cites work @@
+Geometry of moment spaces
@@ Property / cites work: Geometry of moment spaces / rank @@
+Normal rank
@@ Property / cites work @@
+On the Measurement of Economic Tail Risk
@@ Property / cites work: On the Measurement of Economic Tail Risk / rank @@
+Normal rank
@@ Property / cites work @@
+Q4552656
@@ Property / cites work: Q4552656 / rank @@
+Normal rank
@@ Property / cites work @@
+On dependence consistency of CoVaRand some other systemic risk measures
+Normal rank
@@ Property / cites work @@
+Q5253267
@@ Property / cites work: Q5253267 / rank @@
+Normal rank
@@ Property / cites work @@
+VaR bounds for joint portfolios with dependence constraints
+Normal rank
@@ Property / cites work @@
+Reduction of Value-at-Risk bounds via independence and variance information
+Normal rank
@@ Property / cites work @@
+Random variables with maximum sums
@@ Property / cites work: Random variables with maximum sums / rank @@
+Normal rank
@@ Property / cites work @@
+VaR bounds in models with partial dependence information on subgroups
+Normal rank
@@ Property / cites work @@
+On Minimizing and Maximizing a Certain Integral with Statistical Applications
+Normal rank
@@ Property / cites work @@
+Variational methods in statistics
@@ Property / cites work: Variational methods in statistics / rank @@
+Normal rank
@@ Property / cites work @@
+Stochastic orders and co-risk measures under positive dependence
+Normal rank
@@ Property / cites work @@
+Bounds for the sum of dependent risks and worst value-at-risk with monotone marginal densities
+Normal rank
@@ Property / cites work @@
+The complete mixability and convex minimization problems with monotone marginal densities
+Normal rank
@@ Property / cites work @@
+A synthesis of risk measures for capital adequacy
@@ Property / cites work: A synthesis of risk measures for capital adequacy / rank @@
+Normal rank
@@ Property / Wikidata QID @@
+Q129453805
@@ Property / Wikidata QID: Q129453805 / rank @@
+Normal rank