Excess invariance and shortfall risk measures

DOI10.1016/J.ORL.2012.11.004zbMATH Open1266.91037OpenAlexW2086125771MaRDI QIDQ2376732FDOQ2376732

Authors: Jeremy Staum 

Publication date: 24 June 2013

Published in: Operations Research Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.orl.2012.11.004

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zbMATH Keywords

risk measurestranslation invariantshortfallcash additivecash invariantexcess-invariant

Mathematics Subject Classification ID

Cited In (13)

• An axiomatic approach to default risk and model uncertainty in rating systems
• Maturity-Independent Risk Measures
• Risk premia and overshooting
• Surplus-invariant risk measures
• Risk concentration and the mean-expected shortfall criterion
• Intra‐Horizon expected shortfall and risk structure in models with jumps
• Probability equivalent level of value at risk and higher-order expected shortfalls
• Surplus-invariant, law-invariant, and conic acceptance sets must be the sets induced by value at risk
• Beyond cash-additive risk measures: when changing the numéraire fails
• NEYMAN-PEARSON THEORY AND ITS APPLICATION TO SHORTFALL RISK IN FINANCE
• Diversification, protection of liability holders and regulatory arbitrage
• A theory for measures of tail risk
• Fixing risk neutral risk measures

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