Distribution-Invariant Risk Measures, Entropy, and Large Deviations

DOI10.1239/jap/1175267161zbMath1214.91059OpenAlexW1967355270MaRDI QIDQ5443699

Stefan Weber

Publication date: 22 February 2008

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1239/jap/1175267161

zbMATH Keywords

relative entropyMonte Carlolarge deviations principlerisk measureSanov's theoremaverage value at riskshortfall risk

Mathematics Subject Classification ID

Large deviations (60F10) Financial applications of other theories (91G80) Statistical aspects of information-theoretic topics (62B10)

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Reverse sensitivity testing: what does it take to break the model?, Large deviations for risk measures in finite mixture models, A least-squares Monte Carlo approach to the estimation of enterprise risk, Continuity properties of law-invariant (quasi-)convex risk functions on \(L^{\infty}\), On Monte-Carlo methods in convex stochastic optimization

Cites Work

• I-divergence geometry of probability distributions and minimization problems
• Coherent Measures of Risk
• Probabilistic Error Bounds for Simulation Quantile Estimators
• Law invariant risk measures have the Fatou property
• Integral Representation Without Additivity
• Foundations of Modern Probability
• DISTRIBUTION‐INVARIANT RISK MEASURES, INFORMATION, AND DYNAMIC CONSISTENCY
• Stochastic finance. An introduction in discrete time
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