Analytical Bounds for two Value-at-Risk Functionals
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Cites work
- A Note on Skewness and Kurtosis
- An Actuarial Index of the Right-Tail Risk
- Analytical Evaluation of Economic Risk Capital for Portfolios of Gamma Risks
- Application of Coherent Risk Measures to Capital Requirements in Insurance
- Best bounds for expected financial payoffs. I: Algorithmic evaluation
- Best bounds for expected financial payoffs. II: Applications
- Best-possible bounds for the distribution of a sum -- a problem of Kolmogorov
- Bounds for Actuarial Present Values Under the Fractional Independence Assumption
- Coherent measures of risk
- Financial Data Analysis with Two Symmetric Distributions
- scientific article; zbMATH DE number 605729 (Why is no real title available?)
- Random variables with maximum sums
- Some remarks on the value-at-risk and the conditional value-at-risk
Cited in
(27)- Upper bounds for strictly concave distortion risk measures on moment spaces
- Risk bounds with additional information on functionals of the risk vector
- Range value-at-risk bounds for unimodal distributions under partial information
- An explicit version of the Chebyshev-Markov-Stieltjes inequalities and its applications
- Analysis of risk bounds in partially specified additive factor models
- Assessing financial model risk
- Introduction to the theory of probabilistic functions and percentiles (value-at-risk)
- Some remarks on the value-at-risk and the conditional value-at-risk
- Percentile residual life orders
- Estimation methods for expected shortfall
- Biometric solvency risk for portfolios of general life contracts. I. the single-life multiple decrement case
- scientific article; zbMATH DE number 5363850 (Why is no real title available?)
- Analytical Evaluation of Economic Risk Capital for Portfolios of Gamma Risks
- Worst-case range value-at-risk with partial information
- Further results involving percentile inactivity time order and its inference
- New stochastic comparisons based on tail value at risk measures
- Moment Problem and Its Applications to Risk Assessment
- Worst-case moments under partial ambiguity
- Robust distortion risk measures
- Worst-case distortion risk measures of transformed losses with uncertain distributions lying in Wasserstein balls
- Model uncertainty assessment for symmetric and right-skewed distributions
- Worst-case risk measures of stop-loss and limited loss random variables under distribution uncertainty with applications to robust reinsurance
- Moment bounds on discrete expected stop-loss transforms, with applications
- How retention levels influence the variability of the total risk under reinsurance
- Optimal retention for a stop-loss reinsurance with incomplete information
- An improved Laguerre-Samuelson inequality of Chebyshev-Markov type
- Stochastic dominance and risk measure: a decision-theoretic foundation for VaR and C-VaR
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