Mathematical risk analysis. Dependence, risk bounds, optimal allocations and portfolios
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- Ordering results for risk bounds and cost-efficient payoffs in partially specified risk factor models
- The average risk sharing problem under risk measure and expected utility theory
- Cash subadditive risk measures for portfolio vectors
- CMPH: a multivariate phase-type aggregate loss distribution
- A limit distribution of credit portfolio losses with low default probabilities
- Probabilistic solutions for a class of deterministic optimal allocation problems
- Integrated quantile functions: properties and applications
- A review on ambiguity in stochastic portfolio optimization
- Block rearranging elements within matrix columns to minimize the variability of the row sums
- Coherent and convex loss-based risk measures for portfolio vectors
- Set-valued Haezendonck-Goovaerts risk measure and its properties
- Extremal dependence concepts
- Optimal risk allocation in reinsurance networks
- Risk bounds with additional information on functionals of the risk vector
- Monte Carlo estimation of the density of the sum of dependent random variables
- Distributional compatibility for change of measures
- Asymptotic behavior of the empirical multilinear copula process under broad conditions
- Multivariate patchwork copulas: a unified approach with applications to partial comonotonicity
- Extreme negative dependence and risk aggregation
- Statistical analysis of multivariate discrete-valued time series
- Sklar's theorem, copula products, and ordering results in factor models
- Competitive equilibria in a comonotone market
- Baire category results for stochastic orders
- Extended gradient of convex function and capital allocation
- Tail probabilities of random linear functions of regularly varying random vectors
- Admissible ways of merging \(p\)-values under arbitrary dependence
- On extremal problems for pairs of uniformly distributed sequences and integrals with respect to copula measures
- Optimal insurance to maximize RDEU under a distortion-deviation premium principle
- Stochastic representation of FGM copulas using multivariate Bernoulli random variables
- Performance measurement with expectiles
- Coordinate-wise transformation of probability distributions to achieve a Stein-type identity
- Parametric measures of variability induced by risk measures
- Multivariate coherent risk measures induced by multivariate convex risk measures
- Quantile-based risk sharing with heterogeneous beliefs
- A modified version of stochastic dominance involving dependence
- A note on duality theorems in mass transportation
- Allocation inequality in cost sharing problem
- Ordering results for elliptical distributions with applications to risk bounds
- Scenario-based risk evaluation
- Markov decision processes with recursive risk measures
- Dual utilities on risk aggregation under dependence uncertainty
- Weak comonotonicity
- Ordering risk bounds in factor models
- Risk excess measures induced by hemi-metrics
- Acceptability indexes for portfolio vectors
- Is the inf-convolution of law-invariant preferences law-invariant?
- Centers of probability measures without the mean
- Weighted allocations, their concomitant-based estimators, and asymptotics
- Relations between the spectral measures and dependence of MEV distributions
- Reducing model risk via positive and negative dependence assumptions
- Comparison of conditional distributions in portfolios of dependent risks
- A typical copula is singular
- Maximal coupling of empirical copulas for discrete vectors
- On aggregation sets and lower-convex sets
- Building bridges between mathematics, insurance and finance. An interview with Paul Embrechts
- Domains of weak continuity of statistical functionals with a view toward robust statistics
- The fundamental theorem of mutual insurance
- Set-valued risk statistics with scenario analysis
- Copulas with given values on the tails
- Model-free bounds on value-at-risk using extreme value information and statistical distances
- Vector-valued multivariate conditional value-at-risk
- Optimal harvesting strategy based on rearrangements of functions
- Coherent and convex risk measures for portfolios with applications
- Corrigendum to ``A new characterization of comonotonicity and its application in behavioral finance.
- Martingale optimal transport duality
- Risk aggregation under dependence uncertainty and an order constraint
- A concept of copula robustness and its applications in quantitative risk management
- Vector copulas
- Capital allocation with multivariate convex risk measures
- The Hardy-Littlewood-Pólya inequality of majorization in the context of \(\omega\)-\(\mathbf{m}\)-star-convex functions
- Diversification limit of quantiles under dependence uncertainty
- Optimality of payoffs in Lévy models
- Characterizations of Archimedean n-copulas.
- Weak continuity of risk functionals with applications to stochastic programming
- scientific article; zbMATH DE number 5947643 (Why is no real title available?)
- A multivariate extension of the increasing convex order to compare risks
- Set-valued dynamic risk measures for bounded discrete-time processes
- An invitation to coupling and copulas: with applications to multisensory modeling
- Characterization, robustness, and aggregation of signed Choquet integrals
- Tail dependence of the Gaussian copula revisited
- Applications of central limit theorems for equity-linked insurance
- scientific article; zbMATH DE number 5300452 (Why is no real title available?)
- scientific article; zbMATH DE number 5641890 (Why is no real title available?)
- Smooth nonparametric Bernstein vine copulas
- Extended Gini-type measures of risk and variability
- Collective risk models with dependence uncertainty
- Beyond the Pearson correlation: heavy-tailed risks, weighted Gini correlations, and a Gini-type weighted insurance pricing model
- Randomized versions of Mazur lemma and Krein-Šmulian theorem
- Risk bounds and partial dependence information
- Bounding wrong-way risk in CVA calculation
- Current open questions in complete mixability
- A general solution for robust linear programs with distortion risk constraints
- Convex ordering for insurance preferences
- A theory for measures of tail risk
- Kernel-estimated nonparametric overlap-based syncytial clustering
- Quantile-based risk sharing
- scientific article; zbMATH DE number 7387532 (Why is no real title available?)
- Distributional transforms, probability distortions, and their applications
- Marginal and dependence uncertainty: bounds, optimal transport, and sharpness
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