Multivariate risk measures in the non-convex setting
From MaRDI portal
Publication:2291757
DOI10.1515/strm-2019-0002zbMath1458.91229arXiv1902.00766OpenAlexW3126081913WikidataQ127361984 ScholiaQ127361984MaRDI QIDQ2291757
Andreas Haier, Ilya S. Molchanov
Publication date: 31 January 2020
Published in: Statistics \& Risk Modeling (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1902.00766
Statistical methods; risk measures (91G70) Geometric probability and stochastic geometry (60D05) Actuarial science and mathematical finance (91G99)
Cites Work
- Markets with transaction costs. Mathematical theory.
- On convex risk measures on \(L^{p}\)-spaces
- Set-valued risk measures for conical market models
- Conditional cores and conditional convex hulls of random sets
- Intragroup transfers, intragroup diversification and their risk assessment
- MULTIVARIATE RISK MEASURES: A CONSTRUCTIVE APPROACH BASED ON SELECTIONS
- Differentiability Properties of Utility Functions
- Duality for Set-Valued Measures of Risk
- Law invariant risk measures have the Fatou property
- A Lyapunov-Type Theorem for Nonadditive Vector Measures
- BALAYAGE MONOTONOUS RISK MEASURES
- Theory of Random Sets
- Stochastic finance. An introduction in discrete time
This page was built for publication: Multivariate risk measures in the non-convex setting
