scientific article; zbMATH DE number 1795842
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Publication:4550909
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(only showing first 100 items - show all)- Martingale characterization of \(G\)-Brownian motion
- Multivariate risks and depth-trimmed regions
- Time consistent dynamic risk processes
- A new integral for capacities
- On representation theorem of \(G\)-expectations and paths of \(G\)-Brownian motion
- On the continuity of the concave integral
- Risk optimization with p-order conic constraints: a linear programming approach
- Bid-ask dynamic pricing in financial markets with transaction costs and liquidity risk
- Exact functionals and their core
- On the worst conditional expectation.
- Short-term risk management using stochastic Taylor expansions under Lévy models
- The computation of the worst conditional expectation.
- Dynamically consistent preferences under imprecise probabilistic information
- Cash subadditive risk measures for portfolio vectors
- Identifying risk-averse low-diameter clusters in graphs with stochastic vertex weights
- Which eligible assets are compatible with comonotonic capital requirements?
- Model spaces for risk measures
- Optimal expected utility risk measures
- Fatou property, representations, and extensions of law-invariant risk measures on general Orlicz spaces
- Non-smooth analysis method in optimal investment-BSDE approach
- Probabilistically distorted risk-sensitive infinite-horizon dynamic programming
- The pricing of Asian options in uncertain volatility model
- Monotone trends in inventory-price control under time-consistent coherent risk measure
- Preferences over all random variables: incompatibility of convexity and continuity
- Worst case portfolio vectors and diversification effects
- On some claims related to Choquet integral risk measures
- Kolmogorov-type and general extension results for nonlinear expectations
- Efficient hedging with coherent risk measure
- On the Neyman-Pearson problem for law-invariant risk measures and robust utility functionals.
- Restricted coherent risk measures and actuarial solvency
- Tail nonlinearly transformed risk measure and its application
- Recursiveness of indifference prices and translation-invariant preferences
- Representation results for law invariant time consistent functions
- Risk measures on the space of infinite sequences
- Good deals and compatible modification of risk and pricing rule: a regulatory treatment
- Exchanges and measures of risks
- Portfolio optimization with entropic value-at-risk
- Risk aggregation with dependence uncertainty
- Insurance demand and welfare-maximizing risk capital -- some hints for the regulator in the case of exponential preferences and exponential claims
- Multi-utility representations of incomplete preferences induced by set-valued risk measures
- Capital allocation rules and acceptance sets
- Dynamic robust Orlicz premia and Haezendonck-Goovaerts risk measures
- \(G\)-Lévy processes under sublinear expectations
- Adjusted Rényi entropic value-at-risk
- Automatic Fatou property of law-invariant risk measures
- Combining multi-asset and intrinsic risk measures
- Entropy based risk measures
- Goal scoring, coherent loss and applications to machine learning
- On closedness of convex sets in Banach lattices
- Optimal risk-sharing across a network of insurance companies
- On a robust risk measurement approach for capital determination errors minimization
- Aggregation of opinions and risk measures
- On nonlinear expectations and Markov chains under model uncertainty
- When a combination of convexity and continuity forces monotonicity of preferences
- Scenario-based risk evaluation
- Superquantile regression with applications to buffered reliability, uncertainty quantification, and conditional value-at-risk
- Relevant mappings
- Dynamic systemic risk measures for bounded discrete time processes
- Risk sharing for capital requirements with multidimensional security markets
- Risk measures in ordered normed linear spaces with non-empty cone-interior
- Pricing under dynamic risk measures
- The strong Fatou property of risk measures
- Law invariant risk measures and information divergences
- A composition between risk and deviation measures
- Conditional nonlinear expectations
- On closedness of law-invariant convex sets in rearrangement invariant spaces
- A survey of time consistency of dynamic risk measures and dynamic performance measures in discrete time: LM-measure perspective
- Risk excess measures induced by hemi-metrics
- The PDEs and numerical scheme for derivatives under uncertainty volatility
- Is the inf-convolution of law-invariant preferences law-invariant?
- Implied risk aversion: an alternative rating system for retail structured products
- An active-set strategy to solve Markov decision processes with good-deal risk measure
- Time-consistency of risk measures: how strong is such a property?
- Pareto optimal allocations and optimal risk sharing for quasiconvex risk measures
- The restricted convex risk measures in actuarial solvency
- Four theorems and a financial crisis
- Interaction between financial risk measures and machine learning methods
- Financial risk measurement with imprecise probabilities
- Stability in locally \(L^{0}\)-convex modules and a conditional version of James' compactness theorem
- Multivariate elliptical truncated moments
- Characterization of acceptance sets for co-monotone risk measures
- The least squares estimator of random variables under sublinear expectations
- A composite risk measure framework for decision making under uncertainty
- Risk measuring under model uncertainty
- Choosing a random distribution with prescribed risks
- Tail distortion risk and its asymptotic analysis
- Coherent and convex risk measures for portfolios with applications
- Optimal risk sharing with non-monotone monetary functionals
- Large deviations bounds for estimating conditional value-at-risk
- A unifying approach to integration for bounded positive charges
- Credit risk optimization using factor models
- Coherent and convex monetary risk measures for bounded càdlàg processes
- Consistent risk measures for portfolio vectors
- Risk measures via g-expectations
- Stochastic orders and risk measures: consistency and bounds
- Determination of risk pricing measures from market prices of risk
- Dilatation monotonous Choquet integrals
- Haezendonck-Goovaerts capital allocation rules
- Conditional coherent risk measures and regime-switching conic pricing
- Optimal insurance under maxmin expected utility
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