Risk quantization by magnitude and propensity

DOI10.1016/J.INSMATHECO.2024.02.005MaRDI QIDQ6543152zbMATH OpenFDO

Authors Olivier P. Faugeras, Gilles Pagès

Publication date 24 May 2024

Published in Insurance Mathematics \& Economics (Search for Journal in Brave)

zbMATH Keywords

risk managementoptimal quantizationrisk measuremass transportationportfolio analysismagnitude-propensity

Mathematics Subject Classification ID

Actuarial mathematics (91G05) Statistical methods; risk measures (91G70)

Recommendations

• Foundations of Risk Measurement. I. Risk As Probable Loss
• Risk measures on \(\mathcal{P}(\mathbb R)\) and value at risk with probability/loss function
• Comonotonic measures of multivariate risks
• A quantitative comparison of risk measures
• Measuring distribution model risk

Cites work

• scientific article; zbMATH DE number 5898106 (Why is no real title available?)
• scientific article; zbMATH DE number 5321684 (Why is no real title available?)
• scientific article; zbMATH DE number 467196 (Why is no real title available?)
• scientific article; zbMATH DE number 954078 (Why is no real title available?)
• scientific article; zbMATH DE number 1909499 (Why is no real title available?)
• scientific article; zbMATH DE number 2231189 (Why is no real title available?)
• Coherent measures of risk
• Conditional value-at-risk: optimization approach
• Estimation of Relationships for Limited Dependent Variables
• Foundations of quantization for probability distributions
• Higher order elicitability and Osband's principle
• Introduction to Piecewise Differentiable Equations
• Least squares quantization in PCM
• Local structure of feasible sets in nonlinear programming, Part III: Stability and sensitivity
• Making and evaluating point forecasts
• Mass transportation problems. Vol. 1: Theory. Vol. 2: Applications
• Mathematical risk analysis. Dependence, risk bounds, optimal allocations and portfolios
• Non-life insurance mathematics. An introduction with the Poisson process
• Numerical probability. An introduction with applications to finance
• Optimal Transport
• Optimal transport for applied mathematicians. Calculus of variations, PDEs, and modeling
• Probabilistic risk analysis: Foundations and methods
• Probability for Statisticians
• Quantile regression.
• Quantization and the method of<tex>k</tex>-means
• Regression modeling with actuarial and financial applications.
• Reinsurance. Actuarial and statistical aspects
• Risk excess measures induced by hemi-metrics
• Ruin probabilities
• Sharp bounds on the expected shortfall for a sum of dependent random variables
• Stochastic finance. An introduction in discrete time
• Sufficient conditions for uniqueness of a locally optimal quantizer for a class of convex error weighting functions
• Uniqueness of locally optimal quantizer for log-concave density and convex error weighting function

This page was built for publication: Risk quantization by magnitude and propensity

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6543152)