Model Risk Management

DOI10.1017/9781009367189MaRDI QIDQ6055729zbMATH OpenOpenAlexFDO

Authors Ludger Rüschendorf, Steven Vanduffel, Carole Bernard

Publication date 30 October 2023

Full work available at URL https://doi.org/10.1017/9781009367189

Mathematics Subject Classification ID

Introductory exposition (textbooks, tutorial papers, etc.) pertaining to game theory, economics, and finance (91-01) Actuarial mathematics (91G05) Portfolio theory (91G10) Statistical methods; risk measures (91G70)

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Cited in

(7)

• Worst-case values of target semi-variances with applications to robust portfolio selection
• Impact of Model Misspecification on the Value-at-Risk of Unimodal T-Symmetric Distributions
• Robust elicitable functionals
• Representations of characteristic function via survival function and generalized inverse function
• Generalized Hoeffding-Fréchet functionals and mass transportation
• Improved block rearrangement algorithm
• Robust risk evaluation of joint life insurance under dependence uncertainty

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