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)

The standard formula of Solvency II: a critical discussion
Set-valued law invariant coherent and convex risk measures
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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
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
Set-valued Haezendonck-Goovaerts risk measure and its properties
Extended Gini-type measures of risk and variability
Inference for copula modeling of discrete data: a cautionary tale and some facts
A compendium of copulas
Domains of weak continuity of statistical functionals with a view toward robust statistics
Capital allocation with multivariate risk measures: an axiomatic approach
Beyond the Pearson correlation: heavy-tailed risks, weighted Gini correlations, and a Gini-type weighted insurance pricing model
Diversification limit of quantiles under dependence uncertainty
Distortion riskmetrics on general spaces
Variable annuity pricing, valuation, and risk management: a survey
Extremal probability bounds in combinatorial optimization
Sums of standard uniform random variables
VaR bounds for joint portfolios with dependence constraints
Collective risk models with dependence uncertainty
Weighted allocations, their concomitant-based estimators, and asymptotics
Title not available (Why is that?)
Distribution functions, extremal limits and optimal transport
On extremal problems for pairs of uniformly distributed sequences and integrals with respect to copula measures
On Tournaments and negative dependence
Risk bounds and partial dependence information
Competitive equilibria in a comonotone market
Maximal coupling of empirical copulas for discrete vectors
Coherent and convex risk measures for portfolios with applications
A multivariate extension of the increasing convex order to compare risks
An invitation to coupling and copulas: with applications to multisensory modeling
Interplay of insurance and financial risks in a stochastic environment
Reducing model risk via positive and negative dependence assumptions
Seven proofs for the subadditivity of expected shortfall
Optimal claims with fixed payoff structure
Tail dependence of the Gaussian copula revisited
Title not available (Why is that?)
Block rearranging elements within matrix columns to minimize the variability of the row sums
Copulas, diagonals, and tail dependence
Monte Carlo estimation of the density of the sum of dependent random variables
Model-free bounds on value-at-risk using extreme value information and statistical distances
Smooth nonparametric Bernstein vine copulas
An impossibility theorem on capital allocation
Extreme negative dependence and risk aggregation
A journey from statistics and probability to risk theory. An interview with Ludger Rüschendorf
Current open questions in complete mixability
A general solution for robust linear programs with distortion risk constraints
Convex ordering for insurance preferences
Characterizing optimal allocations in quantile-based risk sharing
On measures, pricing and sharing of risk
Risk and portfolio analysis. Principles and methods.
Characterizations of Archimedean \(n\)-copulas.
Probability bounds for \(n\) random events under \((n-1)\)-wise independence
Markov decision processes with recursive risk measures
Multivariate patchwork copulas: a unified approach with applications to partial comonotonicity
Probabilistic solutions for a class of deterministic optimal allocation problems
Extended gradient of convex function and capital allocation
Optimality of payoffs in Lévy models
Dual utilities on risk aggregation under dependence uncertainty
Applications of central limit theorems for equity-linked insurance
Efficient risk allocation within a non-life insurance group under Solvency II regime
Performance measurement with expectiles
Capital allocation with multivariate convex risk measures
Copula modeling for discrete random vectors
Coherent and convex loss-based risk measures for portfolio vectors
Comparison of conditional distributions in portfolios of dependent risks
A typical copula is singular
Quantile-based risk sharing
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

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