Modeling, measuring and managing risk
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Publication:3528030
zbMATH Open1153.91023MaRDI QIDQ3528030FDOQ3528030
Authors: Werner Römisch, Georg Ch. Pflug 
Publication date: 2 October 2008
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Cited In (only showing first 100 items - show all)
- Risk Management with Benchmarking
- The natural Banach space for version independent risk measures
- Tree approximation for discrete time stochastic processes: a process distance approach
- Measuring risk for income streams
- Multi-stage stochastic optimization: the distance between stochastic scenario processes
- Minimizing value-at-risk in single-machine scheduling
- Estimation of optimal portfolio weights under parameter uncertainty and user-specified constraints: a perturbation method
- Mathematical modelling of financial risks. Theory of measurement
- A multi-stage stochastic programming model for managing risk-optimal electricity portfolios
- Risk aversion for nonsmooth utility functions
- Weak continuity of risk functionals with applications to stochastic programming
- Stochastic multi-objective optimization: a survey on non-scalarizing methods
- Smoothing and parametric rules for stochastic mean-CVaR optimal execution strategy
- Optimal insurance portfolios risk-adjusted performance through dynamic stochastic programming
- Two-stage portfolio optimization with higher-order conditional measures of risk
- A dynamic programming approach to adjustable robust optimization
- Uniform limit theorems for functions of order statistics
- Statistical estimation of composite risk functionals and risk optimization problems
- 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
- Medium range optimization of copper extraction planning under uncertainty in future copper prices
- Risk filtering and risk-averse control of Markovian systems subject to model uncertainty
- On preparedness resource allocation planning for natural disaster relief under endogenous uncertainty with time-consistent risk-averse management
- Premiums and reserves, adjusted by distortions
- Asymptotic consistency of risk functionals
- Risk aversion in imperfect natural gas markets
- A quantitative comparison of risk measures
- Risk-averse dynamic programming for Markov decision processes
- Varying confidence levels for CVaR risk measures and minimax limits
- A family of premium principles based on mixtures of TVaRs
- Risk measurement and risk-averse control of partially observable discrete-time Markov systems
- On a characterization of variance and covariance
- Time-consistent approximations of risk-averse multistage stochastic optimization problems
- 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
- Integrated risk modelling
- Nonlinear stochastic programming-with a case study in continuous switching
- Enterprise risk management models
- Medium-term planning for thermal electricity production
- Multivariate value at risk and related topics
- On a time consistency concept in risk averse multistage stochastic programming
- An SDP approach for multiperiod mixed 0-1 linear programming models with stochastic dominance constraints for risk management
- Weighted Pricing Functionals With Applications to Insurance
- MEASURING MODEL RISK IN FINANCIAL RISK MANAGEMENT AND PRICING
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- Two-stage stochastic optimization meets two-scale simulation
- Iterated VaR or CTE measures: a false good idea?
- Stochastic optimization of electricity portfolios: scenario tree modeling and risk management
- Robustness in the optimization of risk measures
- Risk-averse feasible policies for large-scale multistage stochastic linear programs
- On Banach spaces of vector-valued random variables and their duals motivated by risk measures
- Hedging market and credit risk in corporate bond portfolios
- Risk preferences on the space of quantile functions
- Introduction to convex optimization in financial markets
- Kusuoka representations of coherent risk measures in general probability spaces
- Evaluating policies in risk-averse multi-stage stochastic programming
- SDDP for multistage stochastic linear programs based on spectral risk measures
- Bounds for nested law invariant coherent risk measures
- Empirical estimates in stochastic optimization via distribution tails
- Risk Measurement
- Bounds and approximations for multistage stochastic programs
- Measuring distribution model risk
- Weighted risk capital allocations
- Value-at-risk optimization using the difference of convex algorithm
- Sensitivity of risk measures with respect to the normal approximation of total claim distributions
- Asymptotic analysis of sample average approximation for stochastic optimization problems with joint chance constraints via conditional value at risk and difference of convex functions
- Taking risk into account in electricity portfolio management
- Minimax and risk averse multistage stochastic programming
- Scenario decomposition of risk-averse multistage stochastic programming problems
- Decision principles derived from risk measures
- Bias correction for estimated distortion risk measure using the bootstrap
- Risk averse elastic shape optimization with parametrized fine scale geometry
- Composite time-consistent multi-period risk measure and its application in optimal portfolio selection
- Risk modelling and management: an overview
- Revised version of: ``Solvency requirement for a long-term guarantee: risk measures versus probability of ruin
- The standard formula of Solvency II: a critical discussion
- The distortion principle for insurance pricing: properties, identification and robustness
- Quantile-based risk sharing with heterogeneous beliefs
- Model tracking for risk problems
- Title not available (Why is that?)
- On robust portfolio and naïve diversification: mixing ambiguous and unambiguous assets
- On distributionally robust multiperiod stochastic optimization
- Weak laws of large numbers for sublinear expectation
- Distributionally Robust Reward-Risk Ratio Optimization with Moment Constraints
- Time consistent multi-period robust risk measures and portfolio selection models with regime-switching
- A review on ambiguity in stochastic portfolio optimization
- Superquantile/CVaR risk measures: second-order theory
- A framework for optimization under ambiguity
- On shape optimization with stochastic loadings
- Bounds on risk-averse mixed-integer multi-stage stochastic programming problems with mean-CVaR
- Variational theory for optimization under stochastic ambiguity
- Beyond the Pearson correlation: heavy-tailed risks, weighted Gini correlations, and a Gini-type weighted insurance pricing model
- Valuation and pricing of electricity delivery contracts: the producer's view
- Large scale extreme risk assessment using copulas: an application to drought events under climate change for Austria
- On capacity expansion planning under strategic and operational uncertainties based on stochastic dominance risk averse management
- On pricing-based equilibrium for network expansion planning. A multi-period bilevel approach under uncertainty
- When is tail mean estimation more efficient than tail median? Answers and implications for quantitative risk management
- Modelling cascading effects for systemic risk: properties of the Freund copula
- Weighted allocations, their concomitant-based estimators, and asymptotics
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