The known, the unknown, and the unknownable in financial risk management. Measurement and theory advancing practice.

MaRDI QIDQ3563403zbMATH OpenFDO

Authors

Publication date 31 May 2010

Mathematics Subject Classification ID

Proceedings, conferences, collections, etc. pertaining to game theory, economics, and finance (91-06) Actuarial science and mathematical finance (91Gxx)

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Cited in

(19)

• A managerial approach to risk theory: Some suggestions from the theory of financial desicions
• Systemic risk measures
• The St. Petersburg paradox: an experimental solution
• Beyond lognormal inequality: the Lorenz flow structure
• Inequality spectra
• A tour of inequality
• From entropy-maximization to equality-maximization: Gauss, Laplace, Pareto, and Subbotin
• Five degrees of randomness
• Average is over
• Four theorems and a financial crisis
• Managing and Measuring Risk
• Measuring the unmeasurable: an application of uncertainty quantification to treasury bond portfolios
• Ice: the paradigm of wild plasticity
• The Poisson aggregation process
• Option pricing with heavy-tailed distributions of logarithmic returns
• Plight of the fortune tellers. Why we need to manage financial risk differently
• Tail-behavior roadmap for sharp restart
• A pentatonic classification of extreme events
• Fractional motions

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