Nonlinearly transformed risk measures: properties and application to optimal reinsurance (Q5117678): Difference between revisions

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+Economic implications of using a mean-VaR model for portfolio selection: a comparison with mean-variance analysis.
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+Coherent Measures of Risk
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+Stochastic orders and risk measures: consistency and bounds
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+Solvency II, regulatory capital, and optimal reinsurance: how good are conditional value-at-risk and spectral risk measures?
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+Optimal Retention for a Stop-loss Reinsurance Under the VaR and CTE Risk Measures
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+Optimal reinsurance under VaR and CTE risk measures
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+Tail nonlinearly transformed risk measure and its application
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+Optimal Reinsurance under VaR and CVaR Risk Measures: a Simplified Approach
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+CASH SUBADDITIVE RISK MEASURES AND INTEREST RATE AMBIGUITY
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+Convex measures of risk and trading constraints
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+Portfolio optimization with disutility-based risk measure
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+Risk Vulnerability and the Tempering Effect of Background Risk
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+Arrow's theorem on the optimality of deductibles: A stochastic dominance approach
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+Q2892811
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+Risk Aversion in the Small and in the Large
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+Optimality of general reinsurance contracts under CTE risk measure
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+Q5310532
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