Risk measures in the form of infimal convolution
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Publication:2043964
DOI10.1007/S10559-021-00327-ZzbMATH Open1470.91331OpenAlexW3128522869MaRDI QIDQ2043964FDOQ2043964
Authors: V. S. Kirilyuk 
Publication date: 4 August 2021
Published in: Cybernetics and Systems Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10559-021-00327-z
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expected utilitysubdifferentialconvex risk measureconditional value-at-riskcoherent risk measuredual representationinfimal convolutiondeterministic equivalent
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- AN OLD‐NEW CONCEPT OF CONVEX RISK MEASURES: THE OPTIMIZED CERTAINTY EQUIVALENT
- Weighted V\@R and its properties
- Expected Utility, Penalty Functions, and Duality in Stochastic Nonlinear Programming
- Optimal expected utility risk measures
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- Polyhedral coherent risk measures and robust optimization
- Mathematical modeling of distributed catastrophic and terrorist risks
Cited In (7)
- Mini-Batch Risk Forms
- Dual representations for convex risk measures via conjugate duality
- Convex risk measures on Orlicz spaces: inf-convolution and shortfall
- Polyhedral coherent risk measure and distributionally robust portfolio optimization
- Bayesian Risk Measures for Derivatives via Random Esscher Transform
- Inf-convolution and optimal risk sharing with countable sets of risk measures
- A composition between risk and deviation measures
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