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
- Taking risk into account in electricity portfolio management
- Multi-stage stochastic optimization: the distance between stochastic scenario processes
- Risk Management with Benchmarking
- 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
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