RISK MEASURES AND CAPITAL REQUIREMENTS FOR PROCESSES
From MaRDI portal
Recommendations
Cites work
- Application of Coherent Risk Measures to Capital Requirements in Insurance
- Coherent and convex monetary risk measures for bounded càdlàg processes
- Coherent and convex monetary risk measures for unbounded càdlàg processes.
- Coherent multiperiod risk adjusted values and Bellman's principle
- Convex measures of risk and trading constraints
- DISTRIBUTION‐INVARIANT RISK MEASURES, INFORMATION, AND DYNAMIC CONSISTENCY
- Dynamic coherent risk measures
- Fundamental Theorems of Asset Pricing for Good Deal Bounds
- scientific article; zbMATH DE number 1266748 (Why is no real title available?)
- Inf-convolution of risk measures and optimal risk transfer
- Risk as a primitive: a survey of measures of perceived risk
Cited in
(90)- Optimal reinsurance with general risk measures
- On convex risk measures on \(L^{p}\)-spaces
- A dual characterization of self-generation and exponential forward performances
- Risk measurement in semimartingale models with multiple consumption goods
- Risk measures and return performance: a critical approach.
- Cash subadditive risk measures for portfolio vectors
- Time consistency for set-valued dynamic risk measures for bounded discrete-time processes
- Coherent and convex loss-based risk measures for portfolio vectors
- A trade execution model under a composite dynamic coherent risk measure
- Convex duality in optimal investment and contingent claim valuation in illiquid markets
- Scenario decomposition of risk-averse multistage stochastic programming problems
- Exchanges and measures of risks
- Measuring risk with multiple eligible assets
- Multi-utility representations of incomplete preferences induced by set-valued risk measures
- Capital allocation rules and acceptance sets
- Time consistency for scalar multivariate risk measures
- Gittins' theorem under uncertainty
- Required capital for long-run risks
- Insurance premium-based shortfall risk measure induced by cumulative prospect theory
- Set-valued dynamic risk measures for processes and for vectors
- Combining multi-asset and intrinsic risk measures
- Relevant mappings
- A survey of time consistency of dynamic risk measures and dynamic performance measures in discrete time: LM-measure perspective
- On fairness of systemic risk measures
- An active-set strategy to solve Markov decision processes with good-deal risk measure
- Coherent and convex risk measures for portfolios with applications
- Coherent multiperiod risk adjusted values and Bellman's principle
- Coherent and convex monetary risk measures for bounded càdlàg processes
- Dynamic coherent risk measures
- Risk measures via g-expectations
- Minkowski deviation measures
- Dynamic assessment indices
- A comparison of techniques for dynamic multivariate risk measures
- Dynamic coherent acceptability indices and their applications to finance
- Stochastic optimization of electricity portfolios: scenario tree modeling and risk management
- Superhedging in illiquid markets
- Randomized stopping times and coherent multiperiod risk measures
- Risk Measures and Efficient use of Capital
- Asymptotically stable dynamic risk assessments
- Monetary valuation of cash flows under Knightian uncertainty
- Composition of time-consistent dynamic monetary risk measures in discrete time
- Risk-reward optimization with discrete-time coherent risk
- Stochastic linear programming games with concave preferences
- Conditional risk and acceptability mappings as Banach-lattice valued mappings
- Set-valued dynamic risk measures for bounded discrete-time processes
- Progress in risk measurement
- Stability of multistage stochastic programs incorporating polyhedral risk measures
- Multidimensional Coherent and Convex Risk Measures
- CAPITAL ALLOCATION AND RISK CONTRIBUTION WITH DISCRETE‐TIME COHERENT RISK
- Capturing parameter risk with convex risk measures
- Cash subadditive risk measures and interest rate ambiguity
- Time-coherent risk measures for continuous-time Markov chains
- A supermartingale relation for multivariate risk measures
- Beyond cash-additive risk measures: when changing the numéraire fails
- Optimal Design of Dynamic Default Risk Measures
- Convex capital requirements for large portfolio
- Two-stage portfolio optimization with higher-order conditional measures of risk
- Vector-valued coherent risk measure processes
- Conditional systemic risk measures
- Optimal payoffs for directionally closed acceptance sets
- Scalar multivariate risk measures with a single eligible asset
- Short communication: Robust market-adjusted systemic risk measures
- Risk measures with comonotonic subadditivity or convexity on product spaces
- Optimal Control of Conditional Value-at-Risk in Continuous Time
- COHERENT ACCEPTABILITY MEASURES IN MULTIPERIOD MODELS
- Multidimensional dynamic risk measure via conditional g-expectation
- A unified approach to systemic risk measures via acceptance sets
- A Dual Method For Evaluation of Dynamic Risk in Diffusion Processes
- Risk-averse dynamic programming for Markov decision processes
- Risk filtering and risk-averse control of Markovian systems subject to model uncertainty
- Internal vs. External risk measures: how capital requirements differ in practice
- Risk-hedging a European option with a convex risk measure and without no-arbitrage condition
- Fundamental theorem of asset pricing with acceptable risk in markets with frictions
- Short Communication: Are Shortfall Systemic Risk Measures One Dimensional?
- Stable solutions for optimal reinsurance problems involving risk measures
- Risk measures beyond frictionless markets
- On entropy martingale optimal transport theory
- A new risk measure MMVaR: properties and empirical research
- Partial equilibria with convex capital requirements: existence, uniqueness and stability
- Multi-asset return risk measures
- Editorial: Special issue on risk sharing
- Risk assessment for uncertain cash flows: model ambiguity, discounting ambiguity, and the role of bubbles
- Pricing insurance contracts with an existing portfolio as background risk
- Scalarized utility-based multi-asset risk measures
- Risk measures on ordered non-reflexive Banach spaces
- On scalar invariant maps and applications
- Time-consistent approximations of risk-averse multistage stochastic optimization problems
- Ruin-based risk measures in discrete-time risk models
- Dual representations for systemic risk measures based on acceptance sets
- Time consistency conditions for acceptability measures, with an application to tail value at risk
This page was built for publication: RISK MEASURES AND CAPITAL REQUIREMENTS FOR PROCESSES
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3423396)
