Mathematical risk analysis. Dependence, risk bounds, optimal allocations and portfolios
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distributional transformconvex risk measurestochastic dependenceconvex orderduality theorycoherent risk measurecomonotonicityVaRdependence orderingextreme riskrisk allocationquantile transformexcess of lossrisk boundreinsurance contractsintegral orderportfolio risk measurecontingent claims contractsconvex risk functionallaw invariant risk measureoptimal mass-transportationoptimal portfolios contractsorderings of multivariate risk modelsrepresentation of risk measuresSchur orderFréchet classes
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- Dual utilities on risk aggregation under dependence uncertainty
- Capital allocation with multivariate risk measures: an axiomatic approach
- Asymptotic behavior of the empirical multilinear copula process under broad conditions
- Block rearranging elements within matrix columns to minimize the variability of the row sums
- Current open questions in complete mixability
- A general solution for robust linear programs with distortion risk constraints
- Capital allocation with multivariate risk statistics with positive homogeneity and subadditivity
- Multivariate patchwork copulas: a unified approach with applications to partial comonotonicity
- Convex ordering for insurance preferences
- Beyond the Pearson correlation: heavy-tailed risks, weighted Gini correlations, and a Gini-type weighted insurance pricing model
- On aggregation sets and lower-convex sets
- Probabilistic solutions for a class of deterministic optimal allocation problems
- Applications of central limit theorems for equity-linked insurance
- Tail dependence of the Gaussian copula revisited
- Diversification limit of quantiles under dependence uncertainty
- Extremal probability bounds in combinatorial optimization
- Set-valued law invariant coherent and convex risk measures
- On extremal problems for pairs of uniformly distributed sequences and integrals with respect to copula measures
- Copula modeling for discrete random vectors
- Maximal coupling of empirical copulas for discrete vectors
- Copulas, diagonals, and tail dependence
- Performance measurement with expectiles
- Risk bounds and partial dependence information
- Monte Carlo estimation of the density of the sum of dependent random variables
- Characterizing optimal allocations in quantile-based risk sharing
- Efficient risk allocation within a non-life insurance group under Solvency II regime
- scientific article; zbMATH DE number 5947643 (Why is no real title available?)
- The standard formula of Solvency II: a critical discussion
- Seven proofs for the subadditivity of expected shortfall
- On measures, pricing and sharing of risk
- Sums of standard uniform random variables
- Optimal claims with fixed payoff structure
- Risk aversion in regulatory capital principles
- Ordering results for risk bounds and cost-efficient payoffs in partially specified risk factor models
- Distortion riskmetrics on general spaces
- The average risk sharing problem under risk measure and expected utility theory
- Coherent and convex loss-based risk measures for portfolio vectors
- Variable annuity pricing, valuation, and risk management: a survey
- Sklar's theorem, copula products, and ordering results in factor models
- Coherent and convex risk measures for portfolios with applications
- Smooth nonparametric Bernstein vine copulas
- Set-valued Haezendonck-Goovaerts risk measure and its properties
- Interplay of insurance and financial risks in a stochastic environment
- Randomized versions of Mazur lemma and Krein-Šmulian theorem
- Capital allocation with multivariate convex risk measures
- An impossibility theorem on capital allocation
- Competitive equilibria in a comonotone market
- VaR bounds for joint portfolios with dependence constraints
- Risk and portfolio analysis. Principles and methods.
- Extreme negative dependence and risk aggregation
- Weighted allocations, their concomitant-based estimators, and asymptotics
- Characterizations of Archimedean \(n\)-copulas.
- A journey from statistics and probability to risk theory. An interview with Ludger Rüschendorf
- Reducing model risk via positive and negative dependence assumptions
- Extended gradient of convex function and capital allocation
- Model-free bounds on value-at-risk using extreme value information and statistical distances
- Weak continuity of risk functionals with applications to stochastic programming
- A multivariate extension of the increasing convex order to compare risks
- A compendium of copulas
- Extremal dependence concepts
- Probability bounds for \(n\) random events under \((n-1)\)-wise independence
- On Tournaments and negative dependence
- Distribution functions, extremal limits and optimal transport
- scientific article; zbMATH DE number 5641890 (Why is no real title available?)
- An invitation to coupling and copulas: with applications to multisensory modeling
- scientific article; zbMATH DE number 5300452 (Why is no real title available?)
- Extended Gini-type measures of risk and variability
- Set-valued risk statistics with scenario analysis
- Multivariate convex risk statistics with scenario analysis
- Domains of weak continuity of statistical functionals with a view toward robust statistics
- Quantile-based risk sharing
- Collective risk models with dependence uncertainty
- scientific article; zbMATH DE number 7660127 (Why is no real title available?)
- Optimal risk allocation in reinsurance networks
- Markov decision processes with recursive risk measures
- Vector-valued multivariate conditional value-at-risk
- Comparison of conditional distributions in portfolios of dependent risks
- A limit distribution of credit portfolio losses with low default probabilities
- Inference for copula modeling of discrete data: a cautionary tale and some facts
- Quantile-based risk sharing with heterogeneous beliefs
- Optimality of payoffs in Lévy models
- Tail probabilities of random linear functions of regularly varying random vectors
- Cash subadditive risk measures for portfolio vectors
- Ordering risk bounds in factor models
- Multivariate shortfall risk statistics with scenario analysis
- Price and revenue bounds for bundles of information goods
- Characterization, robustness, and aggregation of signed Choquet integrals
- Diversification quotients based on VaR and ES
- Equilibrium Pricing Under Relative Performance Concerns
- Optimal insurance to maximize RDEU under a distortion-deviation premium principle
- Q-learning for distributionally robust Markov decision processes
- Scenario-based risk evaluation
- Stochastic representation of FGM copulas using multivariate Bernoulli random variables
- Statistical analysis of multivariate discrete-valued time series
- Centers of probability measures without the mean
- The fundamental theorem of mutual insurance
- Weak comonotonicity
- A review on ambiguity in stochastic portfolio optimization
- Copulas with given values on the tails
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