ASYMPTOTIC EQUIVALENCE OF RISK MEASURES UNDER DEPENDENCE UNCERTAINTY

DOI10.1111/mafi.12140zbMath1403.91188OpenAlexW3122632845MaRDI QIDQ4635030

Ruodu Wang, Jun Cai, Haiyan Liu

Publication date: 13 April 2018

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/mafi.12140

zbMATH Keywords

diversificationdependence uncertaintyconvex risk measuresrisk aggregationdistortion risk measures

Mathematics Subject Classification ID

Related Items (11)

The average risk sharing problem under risk measure and expected utility theory ⋮ Distributionally Robust Goal-Reaching Optimization in the Presence of Background Risk ⋮ COLLECTIVE RISK MODELS WITH DEPENDENCE UNCERTAINTY ⋮ Ordering and inequalities for mixtures on risk aggregation ⋮ Equivalent distortion risk measures on moment spaces ⋮ Extreme-aggregation measures in the RDEU model ⋮ Worst-Case Range Value-at-Risk with Partial Information ⋮ Dual utilities on risk aggregation under dependence uncertainty ⋮ Exhibiting abnormal returns under a risk averse strategy ⋮ A Theory for Measures of Tail Risk ⋮ Characterization, Robustness, and Aggregation of Signed Choquet Integrals

Cites Work

• Unnamed Item
• Unnamed Item
• The complete mixability and convex minimization problems with monotone marginal densities
• Aggregation-robustness and model uncertainty of regulatory risk measures
• Axiomatic characterization of insurance prices
• The concept of comonotonicity in actuarial science and finance: theory.
• Convex measures of risk and trading constraints
• Extremal dependence concepts
• Bounds for the sum of dependent risks and worst value-at-risk with monotone marginal densities
• Risk aggregation with dependence uncertainty
• Complete mixability and asymptotic equivalence of worst-possible VaR and ES estimates
• Extreme negative dependence and risk aggregation
• Reducing model risk via positive and negative dependence assumptions
• Stochastic orders and risk measures: consistency and bounds
• Coherent Measures of Risk
• HOPE, FEAR, AND ASPIRATIONS
• Stochastic Finance
• How Superadditive Can a Risk Measure Be?
• Robustness and sensitivity analysis of risk measurement procedures
• Approximated Convex Envelope of a Function
• General convex order on risk aggregation
• The Dual Theory of Choice under Risk
• THE CANONICAL MODEL SPACE FOR LAW‐INVARIANT CONVEX RISK MEASURES IS L¹
• OPTIMAL INSURANCE DESIGN UNDER RANK‐DEPENDENT EXPECTED UTILITY

This page was built for publication: ASYMPTOTIC EQUIVALENCE OF RISK MEASURES UNDER DEPENDENCE UNCERTAINTY