Worst case risk measurement: back to the future?
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Publication:654815
DOI10.1016/J.INSMATHECO.2011.06.001zbMATH Open1228.91037OpenAlexW1999404641MaRDI QIDQ654815FDOQ654815
Authors: Rob Kaas, Roger J. A. Laevent, Marc J. Goovaerts 
Publication date: 21 December 2011
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2011.06.001
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linear programmingvalue-at-riskconesrisk measurementworst case scenarioexponential premiumgeneralized scenariostail-value-at-risk
Applications of statistics to actuarial sciences and financial mathematics (62P05) Special problems of linear programming (transportation, multi-index, data envelopment analysis, etc.) (90C08)
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Cited In (27)
- Range value-at-risk bounds for unimodal distributions under partial information
- Upper bounds for strictly concave distortion risk measures on moment spaces
- Worst case portfolio vectors and diversification effects
- Worst-case VaR and CVaR
- Worst-case moments under partial ambiguity
- Analysis of risk bounds in partially specified additive factor models
- On the worst conditional expectation.
- Technical note: closed-form solutions for worst-case law invariant risk measures with application to robust portfolio optimization
- Robust optimal risk sharing and risk premia in expanding pools
- Systemic risk: conditional distortion risk measures
- The strictest common relaxation of a family of risk measures
- Similar risks have similar prices: a useful and exact quantification
- SAFE-SIDE SCENARIOS FOR FINANCIAL AND BIOMETRICAL RISK
- An information geometry problem in mathematical finance
- Optimal robust insurance with a finite uncertainty set
- Marshall-Olkin type copulas generated by a global shock
- Optimal XL-insurance under Wasserstein-type ambiguity
- A simulation-based method for estimating systemic risk measures
- Computing best bounds for nonlinear risk measures with partial information
- Model-independent price bounds for catastrophic mortality bonds
- Distributional bounds for portfolio risk with tail dependence
- Multivariate stress scenarios and solvency
- Choosing a random distribution with prescribed risks
- Worst-case risk with unspecified risk preferences
- Tail analysis without parametric models: a worst-case perspective
- Worst-case range value-at-risk with partial information
- On the interplay between distortion, mean value and Haezendonck-Goovaerts risk measures
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