scientific article; zbMATH DE number 2046106
Probabilistic measure theory (60A10) Martingales with discrete parameter (60G42) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to game theory, economics, and finance (91-01) Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02)
The book grew out of a course taught by the author at the Scuola Normale di Pisa. Chapter 3 gives a short description of value at risk. Chapter 4 introduces the concept of a coherent risk measure. Chapter 5 discusses the connection with convex game theory. Chapter 6 shows how coherent risk measures are related to value at risk. Chapter 7 gives some applications of the theory to financial mathematics. It was shown how the existence of risk neutral measures (martingale measures with bounded densities) is related to a property of coherent risk measures. Chapter 8 deals with the problem of capital allocation. Chapter 9 deals with the coherent risk measures on the space of all random variables.
- Insurance premia consistent with the market.
- Model spaces for risk measures
- Optimal expected utility risk measures
- On the Neyman-Pearson problem for law-invariant risk measures and robust utility functionals.
- Portfolio optimization with entropic value-at-risk
- Capital allocation rules and acceptance sets
- Commonotonicity and time-consistency for Lebesgue-continuous monetary utility functions
- Fair estimation of capital risk allocation
- Dynamic systemic risk measures for bounded discrete time processes
- The strictest common relaxation of a family of risk measures
- A survey of time consistency of dynamic risk measures and dynamic performance measures in discrete time: LM-measure perspective
- Spatial and temporal white noises under sublinear \(G\)-expectation
- Implied risk aversion: an alternative rating system for retail structured products
- Time-consistency of risk measures: how strong is such a property?
- Coherent and convex fair pricing and variability measures
- Convex pricing by a generalized entropy penalty
- Large deviations bounds for estimating conditional value-at-risk
- Coherent and convex monetary risk measures for bounded càdlàg processes
- Multi-dimensional G-Brownian motion and related stochastic calculus under G-expectation
- Haezendonck-Goovaerts capital allocation rules
- Coherent risk measures and a limit pass
- RISK MEASURES: RATIONALITY AND DIVERSIFICATION
- Representation of increasing convex functionals with countably additive measures
- Systemic risk measures on general measurable spaces
- Coherent measures of risk into everyday market practive
- Risk Measures for Portfolio Vectors and Allocation of Risks
- Balanced Risk Set Matching
- Coherent risk measures on general probability spaces
- Optimal reinsurance under general law-invariant risk measures
- A dynamic model of central counterparty risk
- Regulatory arbitrage of risk measures
- Maximally distributed random fields under sublinear expectation
- Coherent risk measure on \(L^0\): NA condition, pricing and dual representation
- Extremiles: A New Perspective on Asymmetric Least Squares
- Coherent measures of risk in everyday market practice†
- Actuarial-consistency and two-step actuarial valuations: a new paradigm to insurance valuation
- A modified functional delta method and its application to the estimation of risk functionals
- Markov chains under nonlinear expectation
- Sharing the value‐at‐risk under distributional ambiguity
- Inf-convolution and optimal risk sharing with countable sets of risk measures
- Capital allocation for cash-subadditive risk measures: from BSDEs to BSVIEs
- Collaborative buffer monitoring and control of critical chain multi-projects considering cross-level risk-sharing effect
- On multivariate contribution measures of systemic risk with applications in cryptocurrency market
- Stochastic orderings for set-valued risk measures
- Risk measures on Musielak-Orlicz spaces: a state-dependent perspective for insurance
- Compositional risk capital allocations
- Risk-adaptive approaches to stochastic optimization: a survey
- Market behavior when preferences are generated by second-order stochastic dominance
- Capital allocation à la Aumann-Shapley for non-differentiable risk measures
- Erratum: Coherent and convex risk measures for unbounded càdlàg processes
- Allocation of risks and equilibrium in markets with finitely many traders
- Monotone and cash-invariant convex functions and hulls
This page was built for publication:
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4451073)
