Robustness and sensitivity analysis of risk measurement procedures
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- Conditionally Elicitable Dynamic Risk Measures for Deep Reinforcement Learning
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- Risk aversion in regulatory capital principles
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- Entropic value-at-risk: a new coherent risk measure
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- Domains of weak continuity of statistical functionals with a view toward robust statistics
- Asymptotic equivalence of risk measures under dependence uncertainty
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- Data perturbations in stochastic generalized equations: statistical robustness in static and sample average approximated models
- Risk bounds for factor models
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- An Information Geometry Approach to Robustness Analysis for the Uncertainty Quantification of Computer Codes
- Large deviations for risk measures in finite mixture models
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- Robustness regions for measures of risk aggregation
- Assessing the difference between integrated quantiles and integrated cumulative distribution functions
- Generalized PELVE and applications to risk measures
- Mean-variance-VaR portfolios: MIQP formulation and performance analysis
- Estimating and backtesting risk under heavy tails
- Risk aggregation under dependence uncertainty and an order constraint
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- How to Increase Robustness of Capable-to-Promise
- Pro‐cyclicality beyond business cycle
- Collective risk models with dependence uncertainty
- Risk parity with expectiles
- Risk concentration and the mean-expected shortfall criterion
- Coherence and elicitability
- Qualitative robustness of set-valued value-at-risk
- Robust worst-case optimal investment
- RISK MEASURES DERIVED FROM A REGULATOR’S PERSPECTIVE ON THE REGULATORY CAPITAL REQUIREMENTS FOR INSURERS
- Aggregation-robustness and model uncertainty of regulatory risk measures
- Ranking of investment funds: acceptability versus robustness
- Qualitative and infinitesimal robustness of tail-dependent statistical functionals
- Trade-off between robust risk measurement and market principles
- Short Communication: Are Shortfall Systemic Risk Measures One Dimensional?
- Dynamic portfolio choice when risk is measured by weighted VaR
- Internal vs. External risk measures: how capital requirements differ in practice
- An energy-based measure for long-run horizon risk quantification
- Bregman superquantiles. Estimation methods and applications
- Robust and Pareto optimality of insurance contracts
- Distributionally Favorable Optimization: A Framework for Data-Driven Decision-Making with Endogenous Outliers
- Is the inf-convolution of law-invariant preferences law-invariant?
- A marginal indemnity function approach to optimal reinsurance under the Vajda condition
- Robust measurement of (heavy-tailed) risks: theory and implementation
- Risk management under a prudential policy
- Robust optimal dynamic reinsurance policies under the mean-RVaR premium principle
- Regulatory arbitrage of risk measures
- Risk measures on the space of infinite sequences
- Auto-static for the people: risk-minimizing hedges of barrier options
- Robust and consistent estimation of generators in credit risk
- On qualitative robustness of the Lotka-Nagaev estimator for the offspring mean of a supercritical Galton-Watson process
- Seven proofs for the subadditivity of expected shortfall
- Shortfall Risk Models When Information on Loss Function Is Incomplete
- A definition of qualitative robustness for general point estimators, and examples
- Preference Robust Modified Optimized Certainty Equivalent
- Robustness in the optimization of risk measures
- Characterization, robustness, and aggregation of signed Choquet integrals
- Sensitivity measures based on scoring functions
- Precommitted strategies with initial-time and intermediate-time value-at-risk constraints
- How superadditive can a risk measure be?
- Distortion risk measures: prudence, coherence, and the expected shortfall
- Parametric measures of variability induced by risk measures
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