Coherent risk measures
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Cites work
- A new premium calculation principle based on Orlicz norms
- Coherent measures of risk
- Comonotonicity, correlation order and premium principles
- Convex games and extreme points
- Cores of exact games. I
- scientific article; zbMATH DE number 48344 (Why is no real title available?)
- Integral Representation Without Additivity
- Non-additive measure and integral
- Theory of capacities
Cited in
(31)- On the lifetime and one-year views of reserve risk, with application to IFRS 17 and Solvency II risk margins
- Kolmogorov-type and general extension results for nonlinear expectations
- Optimal investment with transaction costs and without semimartingales
- Risk measures on the space of infinite sequences
- Convex risk measures on Orlicz spaces: inf-convolution and shortfall
- Lebesgue property for convex risk measures on Orlicz spaces
- Similar risks have similar prices: a useful and exact quantification
- On nonlinear expectations and Markov chains under model uncertainty
- Risk measuring under model uncertainty
- Optimal risk sharing with non-monotone monetary functionals
- The natural Banach space for version independent risk measures
- Value-at-risk and continuous coherent risk measures on L^p-space
- Risk Measures and Efficient use of Capital
- DYNAMIC INDIFFERENCE VALUATION VIA CONVEX RISK MEASURES
- Cash subadditive risk measures and interest rate ambiguity
- A Note on Nonparametric Estimation of the CTE
- From isotonic Banach functionals to coherent risk measures
- scientific article; zbMATH DE number 1795842 (Why is no real title available?)
- Put Option Premiums and Coherent Risk Measures
- BALAYAGE MONOTONOUS RISK MEASURES
- COHERENT PORTFOLIO SEPARATION — INHERENT SYSTEMIC RISK?
- Comparative and qualitative robustness for law-invariant risk measures
- The canonical model space for law-invariant convex risk measures is \(L^{1}\)
- Coherent risk measures and normal mixture distributions with applications in portfolio optimization
- Capital allocation for set-valued risk measures
- Standard approaches to asset & liability risk**
- Recent progress in random metric theory and its applications to conditional risk measures
- Isotonic Banach functional and risk evaluation
- Risk-hedging a European option with a convex risk measure and without no-arbitrage condition
- Generalized PELVE and applications to risk measures
- Rates of almost sure convergence of plug-in estimates for distortion risk measures
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