Capital allocation for set-valued risk measures

DOI10.1142/S0219024920500090MaRDI QIDQ5221484zbMATH OpenOpenAlexFDO

Authors Francesca Centrone, Emanuela Rosazza Gianin

Publication date 26 March 2020

Published in International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1142/s0219024920500090

zbMATH Keywords

risk managementset-valued risk measurescoherent and convex risk measurescapital allocation rules

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70)

Recommendations

• Capital allocation rules and acceptance sets
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• AN AXIOMATIC APPROACH TO CAPITAL ALLOCATION

Cites work

• scientific article; zbMATH DE number 1795842 (Why is no real title available?)
• A duality theory for set-valued functions. I: Fenchel conjugation theory
• AN AXIOMATIC APPROACH TO CAPITAL ALLOCATION
• Capital allocation à la Aumann-Shapley for non-differentiable risk measures
• Coherent measures of risk
• Coherent risk measures
• Complete duality for quasiconvex and convex set-valued functions
• Convex measures of risk and trading constraints
• Dual representations for systemic risk measures
• Duality for set-valued measures of risk
• Law invariant convex risk measures
• Measures of systemic risk
• Multi-portfolio time consistency for set-valued convex and coherent risk measures
• Set Optimization—A Rather Short Introduction
• Set-valued Haezendonck-Goovaerts risk measure and its properties
• Set-valued loss-based risk measures
• Set-valued risk measures for conical market models
• Set-valued shortfall and divergence risk measures
• Stochastic finance. An introduction in discrete time
• Time consistency of dynamic risk measures in markets with transaction costs
• Vector-valued coherent risk measure processes
• Vector-valued coherent risk measures

Cited in

(16)

• GlueVaR risk measures in capital allocation applications
• \( \tau \)-value for risk capital allocation problems
• Optimal capital allocations to interdependent actuarial risks
• Risk capital allocation with autonomous subunits: the Lorenz set
• Capital allocation with multivariate risk measures: an axiomatic approach
• CAPITAL ALLOCATION AND RISK CONTRIBUTION WITH DISCRETE‐TIME COHERENT RISK
• On a capital allocation by minimization of some risk indicators
• Risk Measures and Efficient use of Capital
• The center of a convex set and capital allocation
• Capital allocation à la Aumann-Shapley for non-differentiable risk measures
• Haezendonck-Goovaerts capital allocation rules
• Excess based allocation of risk capital
• Weighted risk capital allocations
• Capital allocation rules and acceptance sets
• Set optimization of set-valued risk measures
• Capital allocation with multivariate convex risk measures

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