Capturing parameter risk with convex risk measures

DOI10.1007/s13385-013-0070-zzbMath1277.91072MaRDI 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 measures; parameter risk; risk-capturing functionals

Mathematics Subject Classification ID

91G20: Derivative securities (option pricing, hedging, etc.)

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

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