Convex risk functionals: representation and applications
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Publication:2292181
DOI10.1016/J.INSMATHECO.2019.10.007zbMATH Open1431.91340OpenAlexW2987526535WikidataQ126853399 ScholiaQ126853399MaRDI QIDQ2292181FDOQ2292181
Authors: F. Liu, Jun Cai, Christiane Lemieux, Ruodu Wang 
Publication date: 3 February 2020
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2019.10.007
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budget constraintdual representationoptimal reinsurance designlaw-invariant convex risk functionalrobust evaluation
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Cited In (33)
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- Minimizing measures of risk by saddle point conditions
- The restricted convex risk measures in actuarial solvency
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- Distortion riskmetrics on general spaces
- Representation and approximation of convex dynamic risk measures with respect to strong–weak topologies
- Optimization of Convex Risk Functions
- Characterization of the Minimal Penalty of a Convex Risk Measure with Applications to Robust Utility Maximization for Lévy Models
- Optimal insurance with mean-deviation measures
- Risk bounds with additional information on functionals of the risk vector
- Convex risk measures: a selection of properties and its applications
- Law-invariant functionals that collapse to the mean: beyond convexity
- Automatic Fatou property of law-invariant risk measures
- Concave/convex weighting and utility functions for risk: a new light on classical theorems
- Choquet Regularization for Continuous-Time Reinforcement Learning
- Biconvex Models and Algorithms for Risk Management Problems
- An information geometry problem in mathematical finance
- Scalar and Vector Risk in the General Framework of Portfolio Theory
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- A Reverse ES (CVaR) Optimization Formula
- Risk measures in the form of infimal convolution
- Enhancing an insurer's expected value by reinsurance and external financing
- Parametric measures of variability induced by risk measures
- On a class of law invariant convex risk measures
- A functional Itô's calculus approach to convex risk measures with jump diffusion
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- Representation of weakly maxitive monetary risk measures and their rate functions
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- Risk and Utility in the Duality Framework of Convex Analysis
- Short note on inf-convolution preserving the Fatou property
- A decomposition of general premium principles into risk and deviation
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- Optimal insurance contracts under distortion risk measures with ambiguity aversion
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