Stochastic root finding and efficient estimation of convex risk measures
DOI10.1287/OPRE.1090.0784zbMATH Open1226.90144OpenAlexW2153141513WikidataQ115182350 ScholiaQ115182350MaRDI QIDQ3100504FDOQ3100504
Authors: Jörn Dunkel, Stefan Weber 
Publication date: 24 November 2011
Published in: Operations Research (Search for Journal in Brave)
Full work available at URL: https://semanticscholar.org/paper/5fa61d4f00c3040c7a350ca67749d17cc10b1343
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Cited In (13)
- Robust importance sampling for some typical types of utility-based shortfall risk measures using exponential twisting and kernel density techniques
- Utility-based shortfall risk: efficient computations via Monte Carlo
- Stochastic approximation schemes for economic capital and risk margin computations
- Non-asymptotic estimation of risk measures using stochastic gradient Langevin dynamics
- Estimation of systemic shortfall risk measure using stochastic algorithms
- Multivariate Shortfall Risk Allocation and Systemic Risk
- Preference robust models in multivariate utility-based shortfall risk minimization
- Liquidity-adjusted risk measures
- Reliable quantification and efficient estimation of credit risk
- Numerical computation of convex risk measures
- Distributionally robust shortfall risk optimization model and its approximation
- Simulation methods for robust risk assessment and the distorted mix approach
- Title not available (Why is that?)
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