Capturing parameter risk with convex risk measures

DOI10.1007/s13385-013-0070-zzbMath1277.91072OpenAlexW2010029812MaRDI QIDQ362040

Matthias Scherer, Karl F. Bannör

Publication date: 20 August 2013

Published in: European Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s13385-013-0070-z

zbMATH Keywords

convex risk measuresparameter riskrisk-capturing functionals

Mathematics Subject Classification ID

Related Items (9)

Analyzing model robustness via a distortion of the stochastic root: a Dirichlet prior approach ⋮ DYNAMIC PROBABILISTIC FORECASTING WITH UNCERTAINTY ⋮ Model risk of contingent claims ⋮ Practice-relevant model validation: distributional parameter risk analysis in financial model risk management ⋮ MEASURING MODEL RISK IN FINANCIAL RISK MANAGEMENT AND PRICING ⋮ Uncertainty Quantification of Derivative Instruments ⋮ Affine processes under parameter uncertainty ⋮ Structural Electricity Models and Asymptotically Normal Estimators to Quantify Parameter Risk ⋮ On the calibration of distortion risk measures to bid-ask prices

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