Convex risk functionals: representation and applications
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Publication:2292181
DOI10.1016/J.INSMATHECO.2019.10.007zbMATH Open1431.91340OpenAlexW2987526535WikidataQ126853399 ScholiaQ126853399MaRDI QIDQ2292181FDOQ2292181
F. Liu, Jun Cai, Ruodu Wang, Christiane Lemieux
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
Recommendations
budget constraintdual representationoptimal reinsurance designlaw-invariant convex risk functionalrobust evaluation
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Cited In (26)
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- Representation and approximation of convex dynamic risk measures with respect to strong–weak topologies
- 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
- Scalar and Vector Risk in the General Framework of Portfolio Theory
- Title not available (Why is that?)
- OPTIMAL INSURANCE CONTRACTS UNDER DISTORTION RISK MEASURES WITH AMBIGUITY AVERSION
- A Reverse ES (CVaR) Optimization Formula
- Enhancing an insurer's expected value by reinsurance and external financing
- Parametric measures of variability induced by risk measures
- A functional Itô's calculus approach to convex risk measures with jump diffusion
- Risk functionals with convex level sets
- Representation of weakly maxitive monetary risk measures and their rate functions
- Convex risk measures for the aggregation of multiple information sources and applications in insurance
- Risk and Utility in the Duality Framework of Convex Analysis
- DISTORTION RISKMETRICS ON GENERAL SPACES
- A decomposition of general premium principles into risk and deviation
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