Modeling, measuring and managing risk
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Publication:3528030
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(only showing first 100 items - show all)- 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
- Incorporating statistical model error into the calculation of acceptability prices of contingent claims
- Hahn-Banach-type theorems and subdifferentials for invariant and equivariant order continuous vector lattice-valued operators with applications to optimization
- Distributionally Robust Reward-Risk Ratio Optimization with Moment Constraints
- Fractional risk process in insurance
- On pricing-based equilibrium for network expansion planning. A multi-period bilevel approach under uncertainty
- Risk tomography
- A framework for optimization under ambiguity
- Tail risk measures and risk allocation for the class of multivariate normal mean-variance mixture distributions
- Weighted allocations, their concomitant-based estimators, and asymptotics
- Minimal representation of insurance prices
- Valuation and pricing of electricity delivery contracts: the producer's view
- On capacity expansion planning under strategic and operational uncertainties based on stochastic dominance risk averse management
- Model tracking for risk problems
- scientific article; zbMATH DE number 7370555 (Why is no real title available?)
- On distributionally robust multiperiod stochastic optimization
- The strictest common relaxation of a family of risk measures
- On conditional cuts for stochastic dual dynamic programming
- Adaptive partition-based SDDP algorithms for multistage stochastic linear programming with fixed recourse
- Looking for appropriate qualification conditions for subdifferential formulae and dual representations for convex risk measures
- Conditional expectiles, time consistency and mixture convexity properties
- Optimization with stochastic preferences based on a general class of scalarization functions
- Martingale characterizations of risk-averse stochastic optimization problems
- When is tail mean estimation more efficient than tail median? Answers and implications for quantitative risk management
- On level regularization with normal solutions in decomposition methods for multistage stochastic programming problems
- Bounds on risk-averse mixed-integer multi-stage stochastic programming problems with mean-CVaR
- On shape optimization with stochastic loadings
- Two-stage stochastic, large-scale optimization of a decentralized energy system: a case study focusing on solar PV, heat pumps and storage in a residential quarter
- scientific article; zbMATH DE number 5052232 (Why is no real title available?)
- A gamma kernel density estimation for insurance loss data
- Large scale extreme risk assessment using copulas: an application to drought events under climate change for Austria
- Quantile-based risk sharing with heterogeneous beliefs
- Mini-Batch Risk Forms
- Sample average approximation for risk-averse problems: a virtual power plant scheduling application
- A new coherent multivariate average-value-at-risk
- A method for constructing and interpreting some weighted premium principles
- Refinements of Kusuoka representations on \(L^\infty\)
- Weak comonotonicity
- Connection between higher order measures of risk and stochastic dominance
- An active-set strategy to solve Markov decision processes with good-deal risk measure
- Optimal payoffs for directionally closed acceptance sets
- Process-based risk measures and risk-averse control of discrete-time systems
- An algorithm for sequential tail value at risk for path-independent payoffs in a binomial tree
- Random distortion risk measures
- Chance-constrained optimization under limited distributional information: a review of reformulations based on sampling and distributional robustness
- Convex approximations of two-stage risk-averse mixed-integer recourse models
- Model Risk Management
- Inf-convolution and optimal risk sharing with countable sets of risk measures
- On risk evaluation and control of distributed multi-agent systems
- Solvency requirement for long term guarantee: risk measure versus probability of ruin
- An Integrated Transportation Distance between Kernels and Approximate Dynamic Risk Evaluation in Markov Systems
- A multivariate CVaR risk measure from the perspective of portfolio risk management
- Can commodities dominate stock and bond portfolios?
- Exhibiting abnormal returns under a risk averse strategy
- An elementary proof of the dual representation of expected shortfall
- Thin and heavy tails in stochastic programming
- Robust portfolio optimization with respect to spectral risk measures under correlation uncertainty
- scientific article; zbMATH DE number 5670776 (Why is no real title available?)
- Preference Robust Modified Optimized Certainty Equivalent
- Optimality Conditions and Moreau–Yosida Regularization for Almost Sure State Constraints
- Law-invariant return and star-shaped risk measures
- On a robust risk measurement approach for capital determination errors minimization
- Mean‐ portfolio selection and ‐arbitrage for coherent risk measures
- A note on the induction of comonotonic additive risk measures from acceptance sets
- Time consistent expected mean-variance in multistage stochastic quadratic optimization: a model and a matheuristic
- Stochastic dominance constraints in elastic shape optimization
- Assessing the difference between integrated quantiles and integrated cumulative distribution functions
- Multistage stochastic programs with a random number of stages: dynamic programming equations, solution methods, and application to portfolio selection
- Inf-convolution, optimal allocations, and model uncertainty for tail risk measures
- Option pricing and stochastic optimization
- Minkowski deviation measures
- Risk forms: representation, disintegration, and application to partially observable two-stage systems
- Adjusted higher-order expected shortfall
- A Reverse ES (CVaR) Optimization Formula
- Preference Robust Optimization for Choice Functions on the Space of CDFs
- Capital Allocation Using the Bootstrap
- A polynomial chaos-based approach to risk-averse piezoelectric control of random vibrations of beams
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