Monotone and cash-invariant convex functions and hulls
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- A derivative-coderivative inclusion in second-order nonsmooth analysis
- Coherent measures of risk
- Convex measures of risk and trading constraints
- Inf-convolution of risk measures and optimal risk transfer
- OPTIMAL RISK SHARING FOR LAW INVARIANT MONETARY UTILITY FUNCTIONS
- On convex principles of premium calculation
- Optional decomposition and Lagrange multipliers
- PORTFOLIO SELECTION WITH MONOTONE MEAN-VARIANCE PREFERENCES
- Pareto Equilibria with coherent measures of risk
- Stochastic finance. An introduction in discrete time
- VALUATIONS AND DYNAMIC CONVEX RISK MEASURES
Cited in
(27)- Haezendonck-Goovaerts risk measures and Orlicz quantiles
- On the computation of optimal monotone mean-variance portfolios via truncated quadratic utility
- EQUILIBRIUM PRICES FOR MONETARY UTILITY FUNCTIONS
- The average risk sharing problem under risk measure and expected utility theory
- Sensitivity analysis in applications with deviation, risk, regret, and error measures
- The restricted convex risk measures in actuarial solvency
- Dual characterization of properties of risk measures on Orlicz hearts
- Pareto optimal allocations and optimal risk sharing for quasiconvex risk measures
- OPTIMAL NUMERAIRES FOR RISK MEASURES
- On convex risk measures on \(L^{p}\)-spaces
- Dilatation monotonicity and convex order
- Restricted coherent risk measures and actuarial solvency
- Niveloids and their extensions: risk measures on small domains
- Optimal capital and risk allocations for law- and cash-invariant convex functions
- On the Lebesgue property of monotone convex functions
- Looking for appropriate qualification conditions for subdifferential formulae and dual representations for convex risk measures
- A note on the Swiss solvency test risk measure
- On the extension property of dilatation monotone risk measures
- The risk measures based on convex functions
- The operation of infimal/supremal convolution in mathematical economics
- Law invariant concave utility functions and optimization problems with monotonicity and comonotonicity constraints
- Beyond cash-additive risk measures: when changing the numéraire fails
- A primal--dual operation on sets linked with closed convex relaxation processes
- RISK MEASURES ON ORLICZ HEARTS
- A decomposition of general premium principles into risk and deviation
- A composition between risk and deviation measures
- OPTIMAL NUMERAIRES FOR RISK MEASURES
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