Evaluations of risk measures for different probability measures

DOI10.1137/110857088zbMATH Open1277.90083OpenAlexW2086538867MaRDI QIDQ5300537FDOQ5300537

Alois Pichler

Publication date: 27 June 2013

Published in: SIAM Journal on Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/110857088

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zbMATH Keywords

optimal transportrisk measuresWasserstein and Kantorovich distancecontinuity properties

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Probability measures on topological spaces (60B05) Stochastic programming (90C15)

Cited In (22)

• Dealing with complex transaction costs in portfolio management
• The natural Banach space for version independent risk measures
• Tree approximation for discrete time stochastic processes: a process distance approach
• Computationally tractable counterparts of distributionally robust constraints on risk measures
• Distortion risk measure under parametric ambiguity
• A sparse grid approach to balance sheet risk measurement
• Robust estimation of superhedging prices
• Insurance premium-based shortfall risk measure induced by cumulative prospect theory
• Simple risk measure calculations for sums of positive random variables
• Estimating processes in adapted Wasserstein distance
• All adapted topologies are equal
• Robust risk management via multi-marginal optimal transport
• Premiums and reserves, adjusted by distortions
• A quantitative comparison of risk measures
• Comparison methods for stochastic models and risks
• Convergence of adapted empirical measures on \(\mathbb{R}^d\)
• Adapted topologies and higher rank signatures
• Sensitivity of Multiperiod Optimization Problems with Respect to the Adapted Wasserstein Distance
• A stochastic programming approach for the optimal management of aggregated distributed energy resources
• Deviations of convex and coherent entropic risk measures
• Frameworks and results in distributionally robust optimization
• Satisficing Measures for Analysis of Risky Positions

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