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

DOI10.1007/978-3-642-33590-7MaRDI QIDQ2919635zbMATH OpenOpenAlexFDO

Authors Ludger Rüschendorf

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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The standard formula of Solvency II: a critical discussion
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Marginal and dependence uncertainty: bounds, optimal transport, and sharpness
Centers of probability measures without the mean
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Systemic risk statistics with scenario analysis
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Set-valued law invariant coherent and convex risk measures
Optimal risk allocation in reinsurance networks
Randomized versions of Mazur lemma and Krein-Šmulian theorem
Quantile-based risk sharing with heterogeneous beliefs
Asymptotic behavior of the empirical multilinear copula process under broad conditions
Bounds on Choquet risk measures in finite product spaces with ambiguous marginals
Portfolio selection based on extended Gini shortfall risk measures
Sklar's theorem, copula products, and ordering results in factor models
Aggregating risks with partial dependence information
Distributionally Robust Markov Decision Processes and Their Connection to Risk Measures
Admissible ways of merging \(p\)-values under arbitrary dependence
Ordering results for elliptical distributions with applications to risk bounds
Optimal harvesting strategy based on rearrangements of functions
Range-based risk measures and their applications
Capital allocation with multivariate risk statistics with positive homogeneity and subadditivity
A limit distribution of credit portfolio losses with low default probabilities
Set-valued risk statistics with scenario analysis
Distributional compatibility for change of measures
Vector-valued multivariate conditional value-at-risk
Weak continuity of risk functionals with applications to stochastic programming
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On aggregation sets and lower-convex sets
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Building bridges between mathematics, insurance and finance. An interview with Paul Embrechts
Extremal dependence concepts
Diversification quotients based on VaR and ES
Scenario-based risk evaluation
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
Multivariate convex risk statistics with scenario analysis
Set-valued Haezendonck-Goovaerts risk measure and its properties
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Risk excess measures induced by hemi-metrics
Inference for copula modeling of discrete data: a cautionary tale and some facts
Risk aversion in regulatory capital principles
A review on ambiguity in stochastic portfolio optimization
Extended Gini-type measures of risk and variability
Multivariate shortfall risk statistics with scenario analysis
A compendium of copulas
Dependence properties of bivariate copula families
Diversification limit of quantiles under dependence uncertainty
Domains of weak continuity of statistical functionals with a view toward robust statistics
Optimal reinsurance design: a mean-variance approach
Portfolio Optimization within a Wasserstein Ball
Beyond the Pearson correlation: heavy-tailed risks, weighted Gini correlations, and a Gini-type weighted insurance pricing model
Capital allocation with multivariate risk measures: an axiomatic approach
Cash subadditive risk measures for portfolio vectors
Distortion riskmetrics on general spaces
Variable annuity pricing, valuation, and risk management: a survey
Q-learning for distributionally robust Markov decision processes
Extremal probability bounds in combinatorial optimization
Sums of standard uniform random variables
Robust risk management via multi-marginal optimal transport
VaR bounds for joint portfolios with dependence constraints
Assessing the difference between integrated quantiles and integrated cumulative distribution functions
Optimal insurance to maximize RDEU under a distortion-deviation premium principle
Risk aggregation under dependence uncertainty and an order constraint
Stochastic representation of FGM copulas using multivariate Bernoulli random variables
Optimal insurance with mean-deviation measures
Risk sharing under heterogeneous beliefs without convexity
Risk bounds with additional information on functionals of the risk vector
Collective risk models with dependence uncertainty
Distribution functions, extremal limits and optimal transport
A modified version of stochastic dominance involving dependence
Weighted allocations, their concomitant-based estimators, and asymptotics
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On extremal problems for pairs of uniformly distributed sequences and integrals with respect to copula measures
CMPH: a multivariate phase-type aggregate loss distribution
Optimal nonparametric testing of missing completely at random and its connections to compatibility
On Tournaments and negative dependence
Competitive equilibria in a comonotone market
Risk bounds and partial dependence information
Statistical analysis of multivariate discrete-valued time series
Maximal coupling of empirical copulas for discrete vectors
A multivariate extension of the increasing convex order to compare risks
Coherent and convex risk measures for portfolios with applications
Set-valued dynamic risk measures for bounded discrete-time processes
Is the inf-convolution of law-invariant preferences law-invariant?
Bounding wrong-way risk in CVA calculation
The fundamental theorem of mutual insurance
Distributionally robust goal-reaching optimization in the presence of background risk
An invitation to coupling and copulas: with applications to multisensory modeling
The Hardy-Littlewood-Pólya inequality of majorization in the context of \(\omega\)-\(\mathbf{m}\)-star-convex functions
Measuring linear correlation between random vectors
Adjusted higher-order expected shortfall
Corrigendum to ``A new characterization of comonotonicity and its application in behavioral finance.
First order asymptotics of the sample average approximation method to solve risk averse stochastic programs
Reducing model risk via positive and negative dependence assumptions
Seven proofs for the subadditivity of expected shortfall
Interplay of insurance and financial risks in a stochastic environment
Weak comonotonicity
Tail dependence of the Gaussian copula revisited
Dynamic reinsurance in discrete time minimizing the insurer's cost of capital

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