Risk measures based on target risk profiles
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Cites work
- -arbitrage and -consistent pricing for star-shaped risk measures
- A theory for measures of tail risk
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- Adjusted Rényi entropic value-at-risk
- An expectile computation cookbook
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- Beyond cash-additive risk measures: when changing the numéraire fails
- Coherent measures of risk
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- Duality for the level sum of quasiconvex functions and applications
- Dynamic quasi concave performance measures
- Expectiles, omega ratios and stochastic ordering
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- Risk aversion in regulatory capital principles
- Risk functionals with convex level sets
- Robustness and sensitivity analysis of risk measurement procedures
- Robustness in the optimization of risk measures
- Solvency II, or how to sweep the downside risk under the carpet
- Stochastic finance. An introduction in discrete time.
- Stochastic orders and risk measures: consistency and bounds
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