Range-based risk measures and their applications

Cites Work

Coherent measures of risk
Higher order elicitability and Osband's principle
Of Quantiles and Expectiles: Consistent Scoring Functions, Choquet Representations and Forecast Rankings
Making and evaluating point forecasts
Asymmetric Least Squares Estimation and Testing
Coherence and elicitability
Tail expectile process and risk assessment
Relative bound and asymptotic comparison of expectile with respect to expected shortfall
Generalized deviations in risk analysis
Modeling, measuring and managing risk
Infinite dimensional analysis. A hitchhiker's guide.
Convex measures of risk and trading constraints
Superquantile regression with applications to buffered reliability, uncertainty quantification, and conditional value-at-risk
RISK MEASURES: RATIONALITY AND DIVERSIFICATION
Cash subadditive risk measures and interest rate ambiguity
Title not available (Why is that?)
Some remarks on the value-at-risk and the conditional value-at-risk
Risk measures with the CxLS property
Law invariant convex risk measures
Robustness and sensitivity analysis of risk measurement procedures
On elicitable risk measures
Comparative and qualitative robustness for law-invariant risk measures
On convex risk measures on \(L^{p}\)-spaces
Mathematical risk analysis. Dependence, risk bounds, optimal allocations and portfolios
Aggregation-robustness and model uncertainty of regulatory risk measures
Stochastic finance. An introduction in discrete time.
On the Measurement of Economic Tail Risk
On the optimal product mix in life insurance companies using conditional value at risk
The canonical model space for law-invariant convex risk measures is \(L^{1}\)
Quantifying market risk with value-at-risk or expected shortfall? -- Consequences for capital requirements and model risk
Estimation of extreme value-at-risk: an EVT approach for quantile GARCH model
Comparison of certain value-at-risk estimation methods for the two-parameter Weibull loss distribution
GARCH Models
Quantile-Based Risk Sharing
Superquantile/CVaR risk measures: second-order theory
The effects of misspecified marginals and copulas on computing the value at risk: a Monte Carlo study
On conditional risk estimation considering model risk
On the elicitability of range value at risk
A composition between risk and deviation measures
On a robust risk measurement approach for capital determination errors minimization
Automatic Fatou property of law-invariant risk measures
Parametric measures of variability induced by risk measures
Range value-at-risk bounds for unimodal distributions under partial information
Dual representation of expectile-based expected shortfall and its properties
PELVE: probability equivalent level of VaR and ES
A class of claim distributions: Properties, characterizations and applications to insurance claim data

This page was built for publication: Range-based risk measures and their applications

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6569742)