Convex risk measures: a selection of properties and its applications

MaRDI QIDQ740950zbMATH OpenFDO

Authors Leonel Pérez Hernández, Erick Treviño Aguilar

Publication date 9 September 2014

Published in Boletín de la Sociedad Matemática Mexicana. Third Series (Search for Journal in Brave)

zbMATH Keywords

[https://portal.mardi4nfdi.de/w/index.php?title=+Special%3ASearch&search=L%EF%BF%BD%EF%BF%BDvy+processes&go=Go L��vy processes]American optionsconvex risk measurestime consistencyminimal penalty functions

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Derivative securities (option pricing, hedging, etc.) (91G20) Applications of stochastic analysis (to PDEs, etc.) (60H30)

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Cited in

(5)

• Convex risk measures for the aggregation of multiple information sources and applications in insurance
• Convex risk measures on Orlicz spaces: inf-convolution and shortfall
• scientific article; zbMATH DE number 4090563 (Why is no real title available?)
• Risk functionals with convex level sets
• Scalar and Vector Risk in the General Framework of Portfolio Theory

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