Worst case risk measurement: back to the future?
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Cites work
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- A Simple Geometric Proof that Comonotonic Risks Have the Convex-Largest Sum
- A Unified Approach to Generate Risk Measures
- A comonotonic image of independence for additive risk measures
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- An implementation of a discretization method for semi-infinite programming
- An introduction to copulas. Properties and applications
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- Application of the problem of moments to derive bounds on integrals with integral constraints
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- Comparison of multivariate risks and positive dependence
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- DUALITY, HAAR PROGRAMS, AND FINITE SEQUENCE SPACES
- Decision principles derived from risk measures
- Duality theory for bounds on integrals with applications to stop-loss premiums
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- Extremal generators and extremal distributions for the continuous \(s\)-convex stochastic orderings
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- Maximization of the variance of a stop-loss reinsured risk
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- Maxmin expected utility with non-unique prior
- Moments of non-negative mass
- Numerical best bounds on stop-loss premiums
- On sharpness of Tchebycheff-type inequalities
- Random variables with maximum sums
- Robust Statistics
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- Upper bounds on stop-loss premiums under constraints on claim size distribution
- Worst VaR scenarios
- Worst VaR scenarios with given marginals and measures of association
- Worst VaR scenarios: A remark
Cited in
(27)- Tail analysis without parametric models: a worst-case perspective
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- Worst case portfolio vectors and diversification effects
- Worst-case VaR and CVaR
- Worst-case moments under partial ambiguity
- On the worst conditional expectation.
- Analysis of risk bounds in partially specified additive factor models
- Robust optimal risk sharing and risk premia in expanding pools
- Technical note: closed-form solutions for worst-case law invariant risk measures with application to robust portfolio optimization
- 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
- Optimal robust insurance with a finite uncertainty set
- An information geometry problem in mathematical finance
- Marshall-Olkin type copulas generated by a global shock
- SAFE-SIDE SCENARIOS FOR FINANCIAL AND BIOMETRICAL RISK
- Optimal XL-insurance under Wasserstein-type ambiguity
- Computing best bounds for nonlinear risk measures with partial information
- A simulation-based method for estimating systemic risk measures
- 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
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