Modeling, measuring and managing risk

zbMATH Open1153.91023MaRDI QIDQ3528030FDOQ3528030

Authors: Werner Römisch, Georg Ch. Pflug 

Publication date: 2 October 2008

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zbMATH Keywords

riskrisk modelsdecision models

Mathematics Subject Classification ID

Research exposition (monographs, survey articles) pertaining to probability theory (60-02) Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02)

Cited In (only showing first 100 items - show all)

• 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
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• 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
• On conditional cuts for stochastic dual dynamic programming
• Structure of risk-averse multistage stochastic programs
• Time consistent multi-period worst-case risk measure in robust portfolio selection
• The strictest common relaxation of a family of risk measures
• On level regularization with normal solutions in decomposition methods for multistage stochastic programming problems
• Solvency analysis of defined benefit pension schemes
• Stability of a class of risk-averse multistage stochastic programs and their distributionally robust counterparts
• Fractional risk process in insurance
• Risk objectives in two-stage stochastic programming models
• Looking for appropriate qualification conditions for subdifferential formulae and dual representations for convex risk measures
• Hahn-Banach and sandwich theorems for equivariant vector lattice-valued operators and applications
• Insurance pricing under ambiguity
• Hahn-Banach-type theorems and subdifferentials for invariant and equivariant order continuous vector lattice-valued operators with applications to optimization
• Risk tomography
• Adaptive partition-based SDDP algorithms for multistage stochastic linear programming with fixed recourse
• Recursive risk measures under regime switching applied to portfolio selection
• An analytical study of norms and Banach spaces induced by the entropic value-at-risk
• Martingale characterizations of risk-averse stochastic optimization problems
• Robust multicriteria risk-averse stochastic programming models
• Tail risk measures and risk allocation for the class of multivariate normal mean-variance mixture distributions
• Title not available (Why is that?)
• 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
• Time-coherent risk measures for continuous-time Markov chains
• The decision rule approach to optimization under uncertainty: methodology and applications
• Star-shaped deviations
• Minimal representation of insurance prices
• Large-scale financial planning via a partially observable stochastic dual dynamic programming framework
• Incorporating statistical model error into the calculation of acceptability prices of contingent claims
• Conditional expectiles, time consistency and mixture convexity properties
• Optimization with stochastic preferences based on a general class of scalarization functions
• A gamma kernel density estimation for insurance loss data
• Solvency requirement for long term guarantee: risk measure versus probability of ruin
• Inf-convolution, optimal allocations, and model uncertainty for tail risk measures
• Quantification of risk in classical models of finance
• Title not available (Why is that?)
• A risk-averse stochastic approximation of the optimal allocation of active redundancies to coherent systems
• A method for constructing and interpreting some weighted premium principles
• Refinements of Kusuoka representations on \(L^\infty\)
• An active-set strategy to solve Markov decision processes with good-deal risk measure
• A polynomial chaos-based approach to risk-averse piezoelectric control of random vibrations of beams
• Range-based risk measures and their applications
• An Integrated Transportation Distance between Kernels and Approximate Dynamic Risk Evaluation in Markov Systems
• An elementary proof of the dual representation of expected shortfall
• Mini-Batch Risk Forms
• A multivariate CVaR risk measure from the perspective of portfolio risk management
• Law-invariant return and star-shaped risk measures
• Process-based risk measures and risk-averse control of discrete-time systems
• Multistage stochastic programs with a random number of stages: dynamic programming equations, solution methods, and application to portfolio selection
• Dynamic portfolio management for property and casualty insurance
• Sample average approximation for risk-averse problems: a virtual power plant scheduling application
• Assessing the difference between integrated quantiles and integrated cumulative distribution functions
• Some matheuristic algorithms for multistage stochastic optimization models with endogenous uncertainty and risk management
• Risk matrix. Rating scheme design and risk aggregation
• A new coherent multivariate average-value-at-risk
• Mean‐ portfolio selection and ‐arbitrage for coherent risk measures
• Model Risk Management
• Thin and heavy tails in stochastic programming
• Connection between higher order measures of risk and stochastic dominance
• On a robust risk measurement approach for capital determination errors minimization
• Robust portfolio optimization with respect to spectral risk measures under correlation uncertainty
• Can commodities dominate stock and bond portfolios?
• Exhibiting abnormal returns under a risk averse strategy
• Time consistent expected mean-variance in multistage stochastic quadratic optimization: a model and a matheuristic
• Option pricing and stochastic optimization
• Adjusted higher-order expected shortfall
• First order asymptotics of the sample average approximation method to solve risk averse stochastic programs
• Capital Allocation Using the Bootstrap
• Weak comonotonicity
• Preference Robust Modified Optimized Certainty Equivalent
• Stochastic dominance constraints in elastic shape optimization
• A Reverse ES (CVaR) Optimization Formula
• Preference Robust Optimization for Choice Functions on the Space of CDFs
• On risk evaluation and control of distributed multi-agent systems
• Optimal payoffs for directionally closed acceptance sets
• Minkowski deviation measures
• Convex approximations of two-stage risk-averse mixed-integer recourse models

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