Multidimensional Coherent and Convex Risk Measures

DOI10.1137/S0040585X97983262zbMATH Open1156.91399OpenAlexW2017739768MaRDI QIDQ3605049FDOQ3605049

Authors: A. V. Kulikov 

Publication date: 19 February 2009

Published in: Theory of Probability & Its Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/s0040585x97983262

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zbMATH Keywords

capital allocationextreme elementsrisk contributionweighted V{\@}Rcone of currency exchange ratesmatrix of currency exchange ratesmultidimensional coherent and convex risk measurestail V{\@}R

Mathematics Subject Classification ID

Cited In (25)

• RISK MEASURES AND CAPITAL REQUIREMENTS FOR PROCESSES
• Risk measures with comonotonic subadditivity or convexity on product spaces
• Static multidimensional risk measures research
• Comonotonic measures of multivariate risks
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• Cash subadditive risk measures for portfolio vectors
• Multi-utility representations of incomplete preferences induced by set-valued risk measures
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• A new coherent multivariate average-value-at-risk
• Multivariate risk measures in the non-convex setting
• Multivariate risk measures: a constructive approach based on selections
• Pricing with Coherent Risk
• Coherent and convex risk measures for portfolios with applications
• Multidimensional dynamic risk measure via conditional \(g\)-expectation
• Title not available (Why is that?)
• Combining multi-asset and intrinsic risk measures
• Pricing based on multidimensional coherent risk measures
• Risk tomography
• On two approaches to coherent risk contribution
• Multivariate coherent risk measures induced by multivariate convex risk measures
• Convex risk measures for the aggregation of multiple information sources and applications in insurance
• Coherent Risk Measures Derived from Utility Functions
• On quadratic multidimensional type-I BSVIEs, infinite families of BSDEs and their applications
• Capital allocation with multivariate convex risk measures
• Coherent and convex loss-based risk measures for portfolio vectors

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