scientific article; zbMATH DE number 7266413

DOI10.13299/J.CNKI.AMJCU.002103MaRDI QIDQ5129396zbMATH OpenFDO

Authors Xianfu Zeng, Yijun Hu, Hongwei Liu

Publication date 27 October 2020

zbMATH Keywords

risk measuresrepresentation theoremFenchel-Moreau theoremacceptance set

Mathematics Subject Classification ID

Risk models (general) (91B05)

Recommendations

• A unified approach to systemic risk measures via acceptance sets
• Multivariate risk measures: a constructive approach based on selections
• Dual representations for systemic risk measures based on acceptance sets
• Some classes of multivariate risk measures
• Multivariate extensions of expectiles risk measures
• Multidimensional Coherent and Convex Risk Measures
• Multivariate risk measures in the non-convex setting
• Set-valued loss-based risk measures
• Characterization of acceptance sets for co-monotone risk measures
• The method of risk measuring based on set-valued Choquet integrals

Cited in

(3)

• Static multidimensional risk measures research
• A note on the induction of comonotonic additive risk measures from acceptance sets
• Characterization of acceptance sets for co-monotone risk measures

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