On the uncertainty of VaR of individual risk

DOI10.1016/j.cam.2019.112468zbMath1430.91133OpenAlexW2973808503WikidataQ127196131 ScholiaQ127196131MaRDI QIDQ2332768

Fei Lung Yuen, Ka Chun Cheung

Publication date: 5 November 2019

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2019.112468

zbMATH Keywords

uncertaintyrobustnessvalue at riskconfidence levelworst scenario

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Actuarial mathematics (91G05)

Related Items (1)

Pareto efficient buy and hold investment strategies under order book linked constraints

Uses Software

• QRM

Cites Work

• Unnamed Item
• Unnamed Item
• VaR as the CVaR sensitivity: applications in risk optimization
• Optimal asset allocation: risk and information uncertainty
• Optimal reinsurance under VaR and CTE risk measures
• Worst VaR scenarios: A remark
• Maxmin expected utility with non-unique prior
• Entropic value-at-risk: a new coherent risk measure
• Recent advances in robust optimization: an overview
• Optimal reinsurance under risk and uncertainty
• Robust asset allocation
• Worst VaR scenarios
• Coherent Measures of Risk
• Theory and Applications of Robust Optimization
• Relative Entropy, Exponential Utility, and Robust Dynamic Pricing
• Risk Measures and Comonotonicity: A Review
• Optimal Reinsurance Revisited – A Geometric Approach
• The Dual Theory of Choice under Risk
• A mean–variance portfolio selection problem subject to a benchmark constraint: An existence result
• On additivity of tail comonotonic risks
• PORTFOLIO MANAGEMENT WITH CONSTRAINTS
• Investing for Retirement

This page was built for publication: On the uncertainty of VaR of individual risk