Capital allocation for set-valued risk measures

DOI10.1142/S0219024920500090zbMATH Open1443.91340OpenAlexW3005117178MaRDI QIDQ5221484FDOQ5221484

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

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zbMATH Keywords

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

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70)

Cites Work

• Coherent measures of risk
• Stochastic finance. An introduction in discrete time
• Convex measures of risk and trading constraints
• Duality for set-valued measures of risk
• AN AXIOMATIC APPROACH TO CAPITAL ALLOCATION
• Vector-valued coherent risk measures
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• A duality theory for set-valued functions. I: Fenchel conjugation theory
• Title not available (Why is that?)
• Vector-valued coherent risk measure processes
• Measures of systemic risk
• Set Optimization—A Rather Short Introduction
• Time consistency of dynamic risk measures in markets with transaction costs
• Coherent risk measures
• Set-valued shortfall and divergence risk measures
• Multi-portfolio time consistency for set-valued convex and coherent risk measures
• Capital allocation à la Aumann-Shapley for non-differentiable risk measures
• Set-valued loss-based risk measures
• Set-valued Haezendonck-Goovaerts risk measure and its properties
• Dual representations for systemic risk measures

Cited In (15)

• GlueVaR risk measures in capital allocation applications
• 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
• Risk Measures and Efficient use of Capital
• On a capital allocation by minimization of some risk indicators
• 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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