Risk measures in the form of infimal convolution

DOI10.1007/S10559-021-00327-ZMaRDI QIDQ2043964zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

expected utilitysubdifferentialconvex risk measureconditional value-at-riskcoherent risk measuredual representationinfimal convolutiondeterministic equivalent

Mathematics Subject Classification ID

Convex programming (90C25) Statistical methods; risk measures (91G70)

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Cites work

• scientific article; zbMATH DE number 1266748 (Why is no real title available?)
• AN OLD‐NEW CONCEPT OF CONVEX RISK MEASURES: THE OPTIMIZED CERTAINTY EQUIVALENT
• Certainty equivalent measures of risk
• Coherent measures of risk
• Convex measures of risk and trading constraints
• Expected Utility, Penalty Functions, and Duality in Stochastic Nonlinear Programming
• Expected utility theory, optimal portfolios, and polyhedral coherent risk measures
• Higher moment coherent risk measures
• Lectures on Stochastic Programming
• Mathematical modeling of distributed catastrophic and terrorist risks
• Optimal expected utility risk measures
• Polyhedral coherent risk measures and optimal portfolios on the reward-risk ratio
• Polyhedral coherent risk measures and robust optimization
• Risk Aversion in the Small and in the Large
• Stochastic finance. An introduction in discrete time
• Weighted V\@R and its properties

Cited in

(8)

• 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
• Looking for appropriate qualification conditions for subdifferential formulae and dual representations for convex risk measures
• A composition between risk and deviation measures
• Inf-convolution and optimal risk sharing with countable sets of risk measures

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