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
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• 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
• 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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