scientific article; zbMATH DE number 2046106
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Publication:4451073
zbMATH Open1060.91077MaRDI QIDQ4451073FDOQ4451073
Authors: Freddy Delbaen 
Publication date: 23 February 2004
Title of this publication is not available (Why is that?)
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Cited In (46)
- Insurance premia consistent with the market.
- Coherent measures of risk into everyday market practive
- Optimal reinsurance under general law-invariant risk measures
- Time-consistency of risk measures: how strong is such a property?
- Maximally distributed random fields under sublinear expectation
- Systemic risk measures on general measurable spaces
- Markov chains under nonlinear expectation
- Large deviations bounds for estimating conditional value-at-risk
- Coherent measures of risk in everyday market practice†
- Portfolio optimization with entropic value-at-risk
- A modified functional delta method and its application to the estimation of risk functionals
- Market behavior when preferences are generated by second-order stochastic dominance
- Balanced Risk Set Matching
- Title not available (Why is that?)
- On the Neyman-Pearson problem for law-invariant risk measures and robust utility functionals.
- Capital allocation for cash-subadditive risk measures: from BSDEs to BSVIEs
- Fair estimation of capital risk allocation
- Coherent risk measures and a limit pass
- Capital allocation à la Aumann-Shapley for non-differentiable risk measures
- Coherent risk measure on \(L^0\): NA condition, pricing and dual representation
- The strictest common relaxation of a family of risk measures
- Coherent and convex monetary risk measures for bounded càdlàg processes
- Coherent and convex fair pricing and variability measures
- Multi-dimensional \(G\)-Brownian motion and related stochastic calculus under \(G\)-expectation
- Regulatory arbitrage of risk measures
- Allocation of risks and equilibrium in markets with finitely many traders
- A survey of time consistency of dynamic risk measures and dynamic performance measures in discrete time: LM-measure perspective
- Haezendonck-Goovaerts capital allocation rules
- Extremiles: A New Perspective on Asymmetric Least Squares
- Monotone and cash-invariant convex functions and hulls
- Model spaces for risk measures
- Representation of increasing convex functionals with countably additive measures
- Risk Measures for Portfolio Vectors and Allocation of Risks
- Commonotonicity and time-consistency for Lebesgue-continuous monetary utility functions
- RISK MEASURES: RATIONALITY AND DIVERSIFICATION
- Sharing the value‐at‐risk under distributional ambiguity
- Capital allocation rules and acceptance sets
- Erratum: Coherent and convex risk measures for unbounded càdlàg processes
- Spatial and temporal white noises under sublinear \(G\)-expectation
- Dynamic systemic risk measures for bounded discrete time processes
- A dynamic model of central counterparty risk
- Implied risk aversion: an alternative rating system for retail structured products
- Inf-convolution and optimal risk sharing with countable sets of risk measures
- Convex pricing by a generalized entropy penalty
- Optimal expected utility risk measures
- Actuarial-consistency and two-step actuarial valuations: a new paradigm to insurance valuation
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