Risk quantization by magnitude and propensity

DOI10.1016/J.INSMATHECO.2024.02.005zbMATH Open1537.91244MaRDI QIDQ6543152FDOQ6543152

Authors: Olivier P. Faugeras, Gilles Pagès 

Publication date: 24 May 2024

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

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

zbMATH Keywords

risk managementoptimal quantizationrisk measuremass transportationportfolio analysismagnitude-propensity

Mathematics Subject Classification ID

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

Cites Work

• Estimation of Relationships for Limited Dependent Variables
• Title not available (Why is that?)
• Coherent measures of risk
• Higher order elicitability and Osband's principle
• Quantile regression.
• Probability for Statisticians
• Reinsurance. Actuarial and statistical aspects
• Least squares quantization in PCM
• Making and evaluating point forecasts
• Optimal transport for applied mathematicians. Calculus of variations, PDEs, and modeling
• Optimal Transport
• Probabilistic risk analysis: Foundations and methods
• Title not available (Why is that?)
• Mass transportation problems. Vol. 1: Theory. Vol. 2: Applications
• Ruin probabilities
• Foundations of quantization for probability distributions
• Local structure of feasible sets in nonlinear programming, Part III: Stability and sensitivity
• Title not available (Why is that?)
• Introduction to Piecewise Differentiable Equations
• Stochastic finance. An introduction in discrete time
• Mathematical risk analysis. Dependence, risk bounds, optimal allocations and portfolios
• Title not available (Why is that?)
• Conditional value-at-risk: optimization approach
• Regression modeling with actuarial and financial applications.
• Title not available (Why is that?)
• Non-life insurance mathematics. An introduction with the Poisson process
• Quantization and the method of<tex>k</tex>-means
• Sharp bounds on the expected shortfall for a sum of dependent random variables
• 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
• Title not available (Why is that?)
• Numerical probability. An introduction with applications to finance
• Risk excess measures induced by hemi-metrics

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)