Characterization of acceptance sets for co-monotone risk measures

DOI10.1016/J.INSMATHECO.2017.03.002MaRDI QIDQ2397861zbMATH OpenOpenAlexFDO

Authors Marc Oliver Rieger

Publication date 24 May 2017

Published in Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.insmatheco.2017.03.002

zbMATH Keywords

acceptance setco-monotonicityconvexityexpected shortfallrisk measurevalue at risk

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70)

Recommendations

• scientific article; zbMATH DE number 7266413
• Convex measures of risk and trading constraints
• Duality for set-valued measures of risk
• Risk measures with comonotonic subadditivity or convexity on product spaces
• Representation of preferences by generalized coherent risk measures

Cites work

• Can utility optimization explain the demand for structured investment products?
• Co-monotonicity of optimal investments and the design of structured financial products
• Coherent measures of risk
• Convex measures of risk and trading constraints
• Decision principles derived from risk measures
• Entropy coherent and entropy convex measures of risk
• External risk measures and Basel accords
• scientific article; zbMATH DE number 3844885 (Why is no real title available?)
• scientific article; zbMATH DE number 3671542 (Why is no real title available?)
• scientific article; zbMATH DE number 1478510 (Why is no real title available?)
• scientific article; zbMATH DE number 1795842 (Why is no real title available?)
• scientific article; zbMATH DE number 3333061 (Why is no real title available?)
• Non-additive measure and integral
• On convex principles of premium calculation
• Stochastic finance. An introduction in discrete time.
• The concept of comonotonicity in actuarial science and finance: theory.

Cited in

(10)

• Which eligible assets are compatible with comonotonic capital requirements?
• Optimal initial capital induced by the optimized certainty equivalent
• Minkowski deviation measures
• Conditional risk and acceptability mappings as Banach-lattice valued mappings
• Representation of preferences by generalized coherent risk measures
• Surplus-invariant, law-invariant, and conic acceptance sets must be the sets induced by value at risk
• Optimal payoffs for directionally closed acceptance sets
• scientific article; zbMATH DE number 7266413 (Why is no real title available?)
• Risk aversion for defining elliptic acceptance sets in the model of generalized coherent risk measures
• A note on the induction of comonotonic additive risk measures from acceptance sets

This page was built for publication: Characterization of acceptance sets for co-monotone risk measures

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2397861)