Modeling, measuring and managing risk
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Publication:3528030
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- Multi-stage stochastic optimization: the distance between stochastic scenario processes
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- Kusuoka representations of coherent risk measures in general probability spaces
- Asymptotic analysis of sample average approximation for stochastic optimization problems with joint chance constraints via conditional value at risk and difference of convex functions
- Evaluating policies in risk-averse multi-stage stochastic programming
- Varying confidence levels for CVaR risk measures and minimax limits
- Enterprise risk management models
- Risk aversion in imperfect natural gas markets
- SDDP for multistage stochastic linear programs based on spectral risk measures
- Uniform limit theorems for functions of order statistics
- Multivariate value at risk and related topics
- Bounds and approximations for multistage stochastic programs
- Measuring distribution model risk
- Risk-averse feasible policies for large-scale multistage stochastic linear programs
- Risk measurement and risk-averse control of partially observable discrete-time Markov systems
- Iterated VaR or CTE measures: a false good idea?
- On Banach spaces of vector-valued random variables and their duals motivated by risk measures
- Smoothing and parametric rules for stochastic mean-CVaR optimal execution strategy
- Statistical estimation of composite risk functionals and risk optimization problems
- Optimal insurance portfolios risk-adjusted performance through dynamic stochastic programming
- Weighted risk capital allocations
- Bounds for nested law invariant coherent risk measures
- Minimizing value-at-risk in single-machine scheduling
- Empirical estimates in stochastic optimization via distribution tails
- Premiums and reserves, adjusted by distortions
- Revised version of: ``Solvency requirement for a long-term guarantee: risk measures versus probability of ruin
- On a time consistency concept in risk averse multistage stochastic programming
- Minimax and risk averse multistage stochastic programming
- A multi-stage stochastic programming model for managing risk-optimal electricity portfolios
- On a characterization of variance and covariance
- The natural Banach space for version independent risk measures
- Introduction to convex optimization in financial markets
- Value-at-risk optimization using the difference of convex algorithm
- Scenario decomposition of risk-averse multistage stochastic programming problems
- Risk averse elastic shape optimization with parametrized fine scale geometry
- Time-consistent approximations of risk-averse multistage stochastic optimization problems
- Risk aversion for nonsmooth utility functions
- MEASURING MODEL RISK IN FINANCIAL RISK MANAGEMENT AND PRICING
- Asymptotic consistency of risk functionals
- Tree approximation for discrete time stochastic processes: a process distance approach
- Decision principles derived from risk measures
- scientific article; zbMATH DE number 5075960 (Why is no real title available?)
- A quantitative comparison of risk measures
- On strategic multistage operational two-stage stochastic 0--1 optimization for the rapid transit network design problem
- Robust optimal control using conditional risk mappings in infinite horizon
- Bias correction for estimated distortion risk measure using the bootstrap
- A family of premium principles based on mixtures of TVaRs
- Stochastic optimization of electricity portfolios: scenario tree modeling and risk management
- A dynamic programming approach to adjustable robust optimization
- Hedging market and credit risk in corporate bond portfolios
- Robustness in the optimization of risk measures
- Weak continuity of risk functionals with applications to stochastic programming
- On time stochastic dominance induced by mixed integer-linear recourse in multistage stochastic programs
- Risk aversion in multistage stochastic programming: a modeling and algorithmic perspective
- Time-inconsistent multistage stochastic programs: martingale bounds
- Composite time-consistent multi-period risk measure and its application in optimal portfolio selection
- Nonlinear stochastic programming-with a case study in continuous switching
- Risk-averse dynamic programming for Markov decision processes
- Measuring risk for income streams
- Integrated risk modelling
- Estimation of optimal portfolio weights under parameter uncertainty and user-specified constraints: a perturbation method
- Risk preferences on the space of quantile functions
- An SDP approach for multiperiod mixed 0-1 linear programming models with stochastic dominance constraints for risk management
- On preparedness resource allocation planning for natural disaster relief under endogenous uncertainty with time-consistent risk-averse management
- Sensitivity of risk measures with respect to the normal approximation of total claim distributions
- Risk filtering and risk-averse control of Markovian systems subject to model uncertainty
- Two-stage stochastic optimization meets two-scale simulation
- Two-stage portfolio optimization with higher-order conditional measures of risk
- Weighted Pricing Functionals With Applications to Insurance
- Risk Measurement
- Medium range optimization of copper extraction planning under uncertainty in future copper prices
- Stochastic multi-objective optimization: a survey on non-scalarizing methods
- Medium-term planning for thermal electricity production
- Risk modelling and management: an overview
- Mathematical modelling of financial risks. Theory of measurement
- Variational theory for optimization under stochastic ambiguity
- The decision rule approach to optimization under uncertainty: methodology and applications
- Solvency analysis of defined benefit pension schemes
- Risk objectives in two-stage stochastic programming models
- Beyond the Pearson correlation: heavy-tailed risks, weighted Gini correlations, and a Gini-type weighted insurance pricing model
- On robust portfolio and naïve diversification: mixing ambiguous and unambiguous assets
- Time-coherent risk measures for continuous-time Markov chains
- Weak laws of large numbers for sublinear expectation
- A review on ambiguity in stochastic portfolio optimization
- Robust multicriteria risk-averse stochastic programming models
- Recursive risk measures under regime switching applied to portfolio selection
- Superquantile/CVaR risk measures: second-order theory
- Stability of a class of risk-averse multistage stochastic programs and their distributionally robust counterparts
- Star-shaped deviations
- Time consistent multi-period robust risk measures and portfolio selection models with regime-switching
- An analytical study of norms and Banach spaces induced by the entropic value-at-risk
- Hahn-Banach and sandwich theorems for equivariant vector lattice-valued operators and applications
- The standard formula of Solvency II: a critical discussion
- Insurance pricing under ambiguity
- The distortion principle for insurance pricing: properties, identification and robustness
- Modelling cascading effects for systemic risk: properties of the Freund copula
- Structure of risk-averse multistage stochastic programs
- Large-scale financial planning via a partially observable stochastic dual dynamic programming framework
- Time consistent multi-period worst-case risk measure in robust portfolio selection
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