Financial risk measurement with imprecise probabilities
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Publication:2379328
The paper focuses on imprecise probabilities linked to financial risk measurement. After an overview on risk measurement without imprecise probabilities, the author provides notations and recalls about imprecise previsions. Then the connection between imprecise previsions and risk measurement is investigated, framing well known risk measures in the context of imprecise probability theory.
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Cited in
(19)- Convex imprecise previsions
- On linearity of pan-integral and pan-integrable functions space
- Optimal stop-loss reinsurance with joint utility constraints
- Financial risk meter FRM based on expectiles
- Normal cones corresponding to credal sets of lower probabilities
- Risk analysis via Łukasiewicz logic
- Conditional submodular Choquet expected values and conditional coherent risk measures
- Constructing copulas from shock models with imprecise distributions
- Uncertainty modelling and conditioning with convex imprecise previsions
- Financial risk measurement
- scientific article; zbMATH DE number 5283688 (Why is no real title available?)
- GENERALIZING DUTCH RISK MEASURES THROUGH IMPRECISE PREVISIONS
- Relationship between the concave integrals and the pan-integrals on finite spaces
- RISK MEASURES DERIVED FROM A REGULATOR’S PERSPECTIVE ON THE REGULATORY CAPITAL REQUIREMENTS FOR INSURERS
- IMPRECISE PREVISIONS FOR RISK MEASUREMENT
- Some multivariate imprecise shock model copulas
- Addressing ambiguity in randomized reinsurance stop-loss treaties using belief functions
- Discrete imprecise copulas
- De Finetti's legacy in dealing with uncertainty: towards finance, artificial intelligence and beyond
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