Mathematical risk analysis. Dependence, risk bounds, optimal allocations and portfolios

DOI10.1007/978-3-642-33590-7zbMATH Open1266.91001OpenAlexW2492739463MaRDI QIDQ2919635FDOQ2919635

Publication date: 5 October 2012

Published in: Springer Series in Operations Research and Financial Engineering (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-642-33590-7

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zbMATH Keywords

Mathematics Subject Classification ID

Credit risk (91G40) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to game theory, economics, and finance (91-01) General reference works (handbooks, dictionaries, bibliographies, etc.) pertaining to game theory, economics, and finance (91-00)

Cited In (only showing first 100 items - show all)

Marginal and dependence uncertainty: bounds, optimal transport, and sharpness
Inf-convolution, optimal allocations, and model uncertainty for tail risk measures
Systemic risk statistics with scenario analysis
Centers of probability measures without the mean
Bounds on Choquet risk measures in finite product spaces with ambiguous marginals
Portfolio selection based on extended Gini shortfall risk measures
Distributionally Robust Markov Decision Processes and Their Connection to Risk Measures
Aggregating risks with partial dependence information
Range-based risk measures and their applications
Optimal harvesting strategy based on rearrangements of functions
Admissible ways of merging \(p\)-values under arbitrary dependence
Ordering results for elliptical distributions with applications to risk bounds
Distributional compatibility for change of measures
Title not available (Why is that?)
Title not available (Why is that?)
Diversification quotients based on VaR and ES
Building bridges between mathematics, insurance and finance. An interview with Paul Embrechts
Scenario-based risk evaluation
Risk excess measures induced by hemi-metrics
Multivariate shortfall risk statistics with scenario analysis
A review on ambiguity in stochastic portfolio optimization
Dependence properties of bivariate copula families
Portfolio Optimization within a Wasserstein Ball
Optimal reinsurance design: a mean-variance approach
Cash subadditive risk measures for portfolio vectors
Q-learning for distributionally robust Markov decision processes
Robust risk management via multi-marginal optimal transport
Assessing the difference between integrated quantiles and integrated cumulative distribution functions
Optimal insurance with mean-deviation measures
Risk sharing under heterogeneous beliefs without convexity
Risk aggregation under dependence uncertainty and an order constraint
Optimal insurance to maximize RDEU under a distortion-deviation premium principle
Stochastic representation of FGM copulas using multivariate Bernoulli random variables
Risk bounds with additional information on functionals of the risk vector
A modified version of stochastic dominance involving dependence
Optimal nonparametric testing of missing completely at random and its connections to compatibility
CMPH: a multivariate phase-type aggregate loss distribution
Statistical analysis of multivariate discrete-valued time series
Set-valued dynamic risk measures for bounded discrete-time processes
Bounding wrong-way risk in CVA calculation
Is the inf-convolution of law-invariant preferences law-invariant?
Distributionally robust goal-reaching optimization in the presence of background risk
The fundamental theorem of mutual insurance
Measuring linear correlation between random vectors
Adjusted higher-order expected shortfall
First order asymptotics of the sample average approximation method to solve risk averse stochastic programs
The Hardy-Littlewood-Pólya inequality of majorization in the context of \(\omega\)-\(\mathbf{m}\)-star-convex functions
Corrigendum to ``A new characterization of comonotonicity and its application in behavioral finance.
Weak comonotonicity
Dynamic reinsurance in discrete time minimizing the insurer's cost of capital
A new method to construct high-dimensional copulas with Bernoulli and Coxian-2 distributions
Copula modeling from Abe Sklar to the present day
Supermodular and directionally convex comparison results for general factor models
Testing with \(\mathrm{p}^*\)-values: between p-values, mid p-values, and e-values
Collective dynamic risk measures
Characterization, robustness, and aggregation of signed Choquet integrals
Parametric measures of variability induced by risk measures
A concept of copula robustness and its applications in quantitative risk management
Pairwise counter-monotonicity
A note on duality theorems in mass transportation
Price and revenue bounds for bundles of information goods
Ordering risk bounds in factor models
Equilibrium Pricing Under Relative Performance Concerns
Short communication: optimal insurance to maximize exponential utility when premium is computed by a convex functional
Acceptability indexes for portfolio vectors
Title not available (Why is that?)
Integrated quantile functions: properties and applications
Distributional transforms, probability distortions, and their applications
Bowley vs. Pareto optima in reinsurance contracting
Multivariate coherent risk measures induced by multivariate convex risk measures
Baire category results for stochastic orders
Coordinate-wise transformation of probability distributions to achieve a Stein-type identity
Living on the edge: an unified approach to antithetic sampling
Vector copulas
Relations between the spectral measures and dependence of MEV distributions
A theory for measures of tail risk
Copulas with given values on the tails
Martingale optimal transport duality
Risk quantization by magnitude and propensity
Inf-convolution and optimal risk sharing with countable sets of risk measures
Allocation inequality in cost sharing problem
Tail probabilities of random linear functions of regularly varying random vectors
The standard formula of Solvency II: a critical discussion
Set-valued law invariant coherent and convex risk measures
Title not available (Why is that?)
Randomized versions of Mazur lemma and Krein-Šmulian theorem
Optimal risk allocation in reinsurance networks
Quantile-based risk sharing with heterogeneous beliefs
Asymptotic behavior of the empirical multilinear copula process under broad conditions
Sklar's theorem, copula products, and ordering results in factor models
Capital allocation with multivariate risk statistics with positive homogeneity and subadditivity
Set-valued risk statistics with scenario analysis
Vector-valued multivariate conditional value-at-risk
A limit distribution of credit portfolio losses with low default probabilities
Weak continuity of risk functionals with applications to stochastic programming
On aggregation sets and lower-convex sets
Extremal dependence concepts
Multivariate convex risk statistics with scenario analysis
Title not available (Why is that?)
Risk aversion in regulatory capital principles

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