Worst-case VaR and CVaR

zbMATH Open1103.62102MaRDI QIDQ3416614FDOQ3416614

Authors: Jana Čerbáková 

Publication date: 22 January 2007

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zbMATH Keywords

value at riskconditional value at risk

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Minimax problems in mathematical programming (90C47)

Cited In (8)

• Title not available (Why is that?)
• Moment Problem and Its Applications to Risk Assessment
• Worst case risk measurement: back to the future?
• Worst VaR scenarios with given marginals and measures of association
• Optimal reinsurance under dynamic VaR constraint
• Robust VaR and CVaR optimization under joint ambiguity in distributions, means, and covariances
• Tail analysis without parametric models: a worst-case perspective
• Worst-case range value-at-risk with partial information

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