Loss-based risk measures

DOI10.1524/strm.2013.1132zbMath1267.62103arXiv1110.1436OpenAlexW3123490457MaRDI QIDQ2841418

Xue Dong He, Romain Deguest, Rama Cont

Publication date: 25 July 2013

Published in: Statistics & Risk Modeling (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1110.1436

zbMATH Keywords

robustnessrisk managementconvex risk measurecoherent risk measureactuarial premium principle

Mathematics Subject Classification ID

Related Items (17)

Dynamic Portfolio Choice When Risk Is Measured by Weighted VaR ⋮ Risks in emerging markets equities: time-varying versus spatial risk analysis ⋮ SET-VALUED CASH SUB-ADDITIVE RISK MEASURES ⋮ Robust measurement of (heavy-tailed) risks: theory and implementation ⋮ Set-valued loss-based risk measures ⋮ Sharing the value‐at‐risk under distributional ambiguity ⋮ Preference robust distortion risk measure and its application ⋮ An axiomatic approach to default risk and model uncertainty in rating systems ⋮ Regulator-based risk statistics with scenario analysis ⋮ PROFIT SHARING IN HEDGE FUNDS ⋮ Diversification, protection of liability holders and regulatory arbitrage ⋮ Coherent and convex loss-based risk measures for portfolio vectors ⋮ A Theory for Measures of Tail Risk ⋮ Surplus-Invariant, Law-Invariant, and Conic Acceptance Sets Must Be the Sets Induced by Value at Risk ⋮ Surplus-Invariant Risk Measures ⋮ Regulator-based risk statistics for portfolios ⋮ On lower partial moments for the investment portfolio with variance-gamma distributed returns

This page was built for publication: Loss-based risk measures