Robustness regions for measures of risk aggregation
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Nonparametric robustness (62G35) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Inequalities; stochastic orderings (60E15) Central limit and other weak theorems (60F05)
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Cites work
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Cited in
(13)- Extreme-aggregation measures in the RDEU model
- Robust risk aggregation with neural networks
- Robust distortion risk measures
- On the properties of the lambda value at risk: robustness, elicitability and consistency
- Comparative and qualitative robustness for law-invariant risk measures
- Aggregation-robustness and model uncertainty of regulatory risk measures
- Risk neutrality regions
- scientific article; zbMATH DE number 1164005 (Why is no real title available?)
- Robustness in the optimization of risk measures
- Characterization, robustness, and aggregation of signed Choquet integrals
- Loss-based risk measures
- On robustness in risk theory
- Ordering and inequalities for mixtures on risk aggregation
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