scientific article

From MaRDI portal
Publication:3400706

zbMath1188.91085MaRDI QIDQ3400706

Sara Biagini, Marco Frittelli

Publication date: 5 February 2010


Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.


Lua error in Module:PublicationMSCList at line 37: attempt to index local 'msc_result' (a nil value).


Related Items (45)

Convex bodies generated by sublinear expectations of random vectorsIndifference pricing of reinsurance with reinstatements using coherent monetary criteriaDual representations for systemic risk measures based on acceptance setsSystemic optimal risk transfer equilibriumFatou closedness under model uncertaintyAutomatic Fatou property of law-invariant risk measuresParametric measures of variability induced by risk measuresDuality for unbounded order convergence and applicationsOption spanning beyond \(L_p\)-modelsConvex risk measures on Orlicz spaces: inf-convolution and shortfallOn efficient portfolio selection using convex risk measuresSmallest order closed sublattices and option spanningWeak Continuity of Risk Functionals with Applications to Stochastic ProgrammingOn closedness of convex sets in Banach latticesDuality and stable compactness in Orlicz-type modulesRisk measuring under model uncertaintyEntropy martingale optimal transport and nonlinear pricing-hedging dualityFatou property, representations, and extensions of law-invariant risk measures on general Orlicz spacesGOOD DEAL BOUNDS WITH CONVEX CONSTRAINTSMaximum Lebesgue extension of monotone convex functionsPortfolio insurance under a risk-measure constraintComparative and qualitative robustness for law-invariant risk measuresBeyond cash-additive risk measures: when changing the numéraire failsOn the Lebesgue property of monotone convex functionsDynamic quasi concave performance measuresFully-Dynamic Risk-Indifference Pricing and No-Good-Deal BoundsMultivariate Shortfall Risk Allocation and Systemic RiskDual representation of expectile-based expected shortfall and its propertiesCompactness, Optimality, and RiskRelevant mappingsRisk measures on ordered non-reflexive Banach spacesRisk measures in ordered normed linear spaces with non-empty cone-interiorThe strong Fatou property of risk measuresRobust Utility Maximization without Model CompactnessCapital requirements with defaultable securitiesWeak topologies for modules over rings of bounded random variablesRepresentation of increasing convex functionals with countably additive measuresБулевозначный подход к анализу условного рискаLiquidity, Risk Measures, and Concentration of MeasureOn fairness of systemic risk measuresLaw-Invariant Functionals on General Spaces of Random VariablesClosedness of convex sets in Orlicz spaces with applications to dual representation of risk measuresConvex functions on dual Orlicz spacesConditional Systemic Risk MeasuresModel Uncertainty: A Reverse Approach




This page was built for publication: