V@R representation theorems in ambiguous frameworks
From MaRDI portal
Publication:6574568
DOI10.1002/ASMB.2425MaRDI QIDQ6574568FDOQ6574568
Authors: Alejandro Balbás, Jean-Philippe Charron 
Publication date: 18 July 2024
Published in: Applied Stochastic Models in Business and Industry (Search for Journal in Brave)
Cites Work
- Coherent measures of risk
- Maxmin expected utility with non-unique prior
- From stochastic dominance to mean-risk models: Semideviations as risk measures
- Generalized deviations in risk analysis
- Title not available (Why is that?)
- Minimizing measures of risk by saddle point conditions
- Applied functional analysis. Main principles and their applications
- Title not available (Why is that?)
- Title not available (Why is that?)
- Dual formulation of second order target problems
- Optimal reinsurance under risk and uncertainty
- Marginal indemnification function formulation for optimal reinsurance
- Worst-case conditional value-at-risk with application to robust portfolio management
- The effect of supply uncertainty in price-setting newsvendor models
- Optimization of Convex Risk Functions
- Good deals and benchmarks in robust portfolio selection
- Martingales and Stochastic Integrals
- Utility maximization under model uncertainty in discrete time
- Optimal reinsurance
- Robust and Pareto optimality of insurance contracts
- Differential equations connecting VaR and CVaR
- Robust reinsurance contracts with uncertainty about jump risk
This page was built for publication: V@R representation theorems in ambiguous frameworks
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6574568)
