Model uncertainty and scenario aggregation

DOI10.1111/MAFI.12097MaRDI QIDQ6497105zbMATH OpenFDO

Authors Mathieu Cambou, Damir Filipović

Publication date 6 May 2024

Published in Mathematical Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/MAFI.12097

zbMATH Keywords

expected shortfallmodel uncertaintyscenario aggregationstatistical divergenceSwiss Solvency Testvalue-at-risk

Mathematics Subject Classification ID

Actuarial science and mathematical finance (91Gxx)

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Cited in

(7)

• Scenario-based risk evaluation
• Quantile-based risk sharing
• Risk sharing under heterogeneous beliefs without convexity
• Monotonic mean-deviation risk measures
• A theory of multivariate stress testing
• Ensemble learning for portfolio valuation and risk management
• Navigating supply shocks: sector resilience and production prices through stochastic input-output modeling

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