Optimal scenario-dependent multivariate shortfall risk measure and its application in risk capital allocation
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Publication:2106746
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Cited in
(10)- Risk measures under model uncertainty: a Bayesian viewpoint
- Joint Insolvency Analysis of a Shared MAP Risk Process: A Capital Allocation Application
- Short Communication: Are Shortfall Systemic Risk Measures One Dimensional?
- Estimation of systemic shortfall risk measure using stochastic algorithms
- Multivariate systemic risk measures and computation by deep learning algorithms
- Preference Robust Modified Optimized Certainty Equivalent
- Insurance premium-based shortfall risk measure induced by cumulative prospect theory
- The tail mean-variance optimal capital allocation under the extended skew-elliptical distribution
- Preference robust distortion risk measure and its application
- Multivariate Shortfall Risk Allocation and Systemic Risk
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