Coherent measures of risk
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(only showing first 100 items - show all)- Martingale characterization of \(G\)-Brownian motion
- Estimation of bivariate excess probabilities for elliptical models
- Consistency of the \(\alpha \)-trimming of a probability. Applications to central regions
- Multivariate risks and depth-trimmed regions
- Optimal capital and risk allocations for law- and cash-invariant convex functions
- The relationship between risk measures and Choquet expectations in the framework of \(g\)-expectations
- Time consistent dynamic risk processes
- A new integral for capacities
- Geometry of polar wedges in Riesz spaces and super-replication prices in incomplete financial markets
- Portfolio choice and optimal hedging with general risk functions: a simplex-like algorithm
- Additivity properties for value-at-risk under archimedean dependence and heavy-tailedness
- To split or not to split: Capital allocation with convex risk measures
- Approximating the distributions of estimators of financial risk under an asymmetric Laplace law
- Optimal reinsurance with general risk measures
- Optimal allocation of policy limits and deductibles under distortion risk measures
- Optimal risk sharing with different reference probabilities
- A Bayesian approach to estimate the marginal loss distributions in operational risk management
- Multiple priors and asset pricing
- Robust optimal portfolio choice under Markovian regime-switching model
- Risk preference modeling with conditional average: An application to portfolio optimization
- Optimal pension fund management under multi-period risk minimization
- Estimating allocations for value-at-risk portfolio optimization
- Optimization strategies in credit portfolio management
- Uniform limit theorems for functions of order statistics
- Portfolio selection with transaction costs under expected shortfall constraints
- Lenglart domination inequalities for \(g\)-expectations
- Auto-static for the people: risk-minimizing hedges of barrier options
- On the continuity of the concave integral
- Risk optimization with p-order conic constraints: a linear programming approach
- Models and simulations for portfolio rebalancing
- Value-at-risk via mixture distributions reconsidered
- Optimal bespoke CDO design via NSGA-II
- The minimal sublinear expectations and their related properties
- Single and multi-period optimal inventory control models with risk-averse constraints
- Survey on normal distributions, central limit theorem, Brownian motion and the related stochastic calculus under sublinear expectations
- An overview of representation theorems for static risk measures
- The newsboy problem when customer demand is a compound renewal process
- A practical approach for robust and flexible vehicle routing using metaheuristics and Monte Carlo sampling
- Extending pricing rules with general risk functions
- An \texttt{R} package for value at risk and expected shortfall
- Tail risk inference via expectiles in heavy-tailed time series
- Optimal investment strategies and risk measures in defined contribution pension schemes.
- Exact functionals and their core
- The practice of Delta--Gamma VaR: Implementing the quadratic portfolio model.
- The optimal portfolio problem with coherent risk measure constraints.
- Structuration optimale de produits financiers et diversification en présence de sources de risque non-négociables. (Optimal design of financial derivatives)
- On the worst conditional expectation.
- Rational hedging and valuation of integrated risks under constant absolute risk aversion.
- Short-term risk management using stochastic Taylor expansions under Lévy models
- Insurance premia consistent with the market.
- Risk capital allocation by coherent risk measures based on one-sided moments.
- Wang's capital allocation formula for elliptically contoured distributions.
- Risk capital allocation and cooperative pricing of insurance liabilities.
- Fitting a Pareto-Normal-Pareto distribution to the residuals of financial data
- Risk measures and return performance: a critical approach.
- The computation of the worst conditional expectation.
- Financial options and statistical prediction intervals
- Computation of distorted probabilities for diffusion processes via stochastic control methods.
- Economic implications of using a mean-VaR model for portfolio selection: a comparison with mean-variance analysis.
- \textit{Ex-ante} real estate value at risk calculation method
- Measurement errors in stock markets
- The impact of insurance premium taxation
- Expectiles, omega ratios and stochastic ordering
- Variance allocation and Shapley value
- Stochastic dominance with imprecise information
- Optimizing conditional value-at-risk in dynamic pricing
- Robust risk budgeting
- How risky is the optimal portfolio which maximizes the Sharpe ratio?
- The average risk sharing problem under risk measure and expected utility theory
- Modeling time-dependent randomness in stochastic dual dynamic programming
- Necessary and sufficient optimality conditions for regular-singular stochastic differential games with asymmetric information
- Optimal portfolio selection based on expected shortfall under generalized hyperbolic distribution
- Reverse sensitivity testing: what does it take to break the model?
- Cash subadditive risk measures for portfolio vectors
- Optimal quota-share reinsurance based on the mutual benefit of insurer and reinsurer
- Computation of market risk measures with stochastic liquidity horizon
- Convergence of a Scholtes-type regularization method for cardinality-constrained optimization problems with an application in sparse robust portfolio optimization
- Superquantile/CVaR risk measures: second-order theory
- On the dual representation of coherent risk measures
- When is tail mean estimation more efficient than tail median? Answers and implications for quantitative risk management
- CVaR distance between univariate probability distributions and approximation problems
- Identifying risk-averse low-diameter clusters in graphs with stochastic vertex weights
- A fair division approach to humanitarian logistics inspired by conditional value-at-risk
- Market consistent valuations with financial imperfection
- Trade and currency options hedging model
- Stochastic tail index model for high frequency financial data with Bayesian analysis
- Time consistency for set-valued dynamic risk measures for bounded discrete-time processes
- Financial equilibrium with non-linear valuations
- Scenario reduction for stochastic programs with conditional value-at-risk
- The stochastic mitra-wan forestry model: risk neutral and risk averse cases
- Multiperiod portfolio investment using stochastic programming with conditional value at risk
- Risk shaping of optimal electricity portfolios in the stochastic LCOE theory
- Equal risk pricing under convex trading constraints
- Time consistent multi-period worst-case risk measure in robust portfolio selection
- Quantifying market risk with value-at-risk or expected shortfall? -- Consequences for capital requirements and model risk
- Index tracking model, downside risk and non-parametric kernel estimation
- On coherent risk measures induced by convex risk measures
- Estimating extreme tail risk measures with generalized Pareto distribution
- Nonlinear expectile regression with application to value-at-risk and expected shortfall estimation
- Optimal limited stop-loss reinsurance under VaR, TVaR, and CTE risk measures
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