Excess invariance and shortfall risk measures

DOI10.1016/J.ORL.2012.11.004MaRDI QIDQ2376732zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

cash additivecash invariantexcess-invariantrisk measuresshortfalltranslation invariant

Mathematics Subject Classification ID

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Cited in

(15)

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

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