On a robust risk measurement approach for capital determination errors minimization (Q2212174): Difference between revisions

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+Coherent Measures of Risk
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+Generalized quantiles as risk measures
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+Robust return risk measures
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+MODEL UNCERTAINTY AND ITS IMPACT ON THE PRICING OF DERIVATIVE INSTRUMENTS
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+Q4550909
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+Economic Capital Allocation Derived from Risk Measures
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+Stochastic finance. An introduction in discrete time.
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+Managing Economic and Virtual Economic Capital Within Financial Conglomerates
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+Decision principles derived from risk measures
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+Maximum Entropy Principle with General Deviation Measures
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+Distributionally robust shortfall risk optimization model and its approximation
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+Diversification, protection of liability holders and regulatory arbitrage
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+An optimization approach to the dynamic allocation of economic capital
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+Subdifferential representations of risk measures
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+Q3528030
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+Entropy based risk measures
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+A composition between risk and deviation measures
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+Generalized deviations in risk analysis
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+Law invariant convex risk measures for portfolio vectors
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+Distributionally Robust Stochastic Programming
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+On general minimax theorems
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+The least squares estimator of random variables under sublinear expectations
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+Stochastic comparisons of capital allocations with applications
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+Optimal capital allocation based on the tail mean-variance model
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+Optimal Pricing of a Heterogeneous Portfolio for a Given Risk Level
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+COHERENCE AND ELICITABILITY
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