Convex risk measures: a selection of properties and its applications
zbMATH Open1314.91214MaRDI QIDQ740950FDOQ740950
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)
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[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
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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- Convex risk measures on Orlicz spaces: inf-convolution and shortfall
- Scalar and Vector Risk in the General Framework of Portfolio Theory
- Title not available (Why is that?)
- Risk functionals with convex level sets
- Convex risk measures for the aggregation of multiple information sources and applications in insurance
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