A note on convex risk statistic

DOI10.1016/J.ORL.2012.09.011MaRDI QIDQ1939712zbMATH OpenOpenAlexFDO

Authors Xinli Suo, Dejian Tian

Publication date 5 March 2013

Published in Operations Research Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.orl.2012.09.011

zbMATH Keywords

comonotonic convexitycomonotonic subadditivitydata-based risk measuresrisk statistics

Mathematics Subject Classification ID

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Cites work

• A note on natural risk statistics
• Axiomatic characterization of insurance prices
• Coherent measures of risk
• Convex measures of risk and trading constraints
• scientific article; zbMATH DE number 1795125 (Why is no real title available?)
• Law invariant convex risk measures
• Risk measures with comonotonic subadditivity or convexity and respecting stochastic orders
• The representations of two types of functionals on \(L^\infty(\Omega,\mathcal F)\) and \(L^\infty(\Omega,\mathcal F,\mathbb P)\)

Cited in

(10)

• Quasiconvex risk statistics with scenario analysis
• Set-valued risk statistics with scenario analysis
• A note on natural risk statistics
• Multivariate convex risk statistics with scenario analysis
• Multivariate shortfall risk statistics with scenario analysis
• Multivariate quasiconvex risk statistics with scenario analysis
• Systemic risk statistics with scenario analysis
• Capital allocation with multivariate risk statistics with positive homogeneity and subadditivity
• Regulator-based risk statistics with scenario analysis
• Regulator-based risk statistics for portfolios

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