V@R representation theorems in ambiguous frameworks

DOI10.1002/ASMB.2425MaRDI QIDQ6574568FDO

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)

zbMATH Keywords

value at riskambiguityrepresentation theoremheavy tail

Mathematics Subject Classification ID

Statistics (62-XX)

Cites work

• scientific article; zbMATH DE number 4029251 (Why is no real title available?)
• scientific article; zbMATH DE number 3281211 (Why is no real title available?)
• scientific article; zbMATH DE number 3399886 (Why is no real title available?)
• Applied functional analysis. Main principles and their applications
• Coherent measures of risk
• Differential equations connecting VaR and CVaR
• Dual formulation of second order target problems
• From stochastic dominance to mean-risk models: Semideviations as risk measures
• Generalized deviations in risk analysis
• Good deals and benchmarks in robust portfolio selection
• Marginal indemnification function formulation for optimal reinsurance
• Martingales and Stochastic Integrals
• Maxmin expected utility with non-unique prior
• Minimizing measures of risk by saddle point conditions
• Optimal reinsurance
• Optimal reinsurance under risk and uncertainty
• Optimization of Convex Risk Functions
• Robust and Pareto optimality of insurance contracts
• Robust reinsurance contracts with uncertainty about jump risk
• The effect of supply uncertainty in price-setting newsvendor models
• Utility maximization under model uncertainty in discrete time
• Worst-case conditional value-at-risk with application to robust portfolio management

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)