Reverse sensitivity analysis for risk modelling
Year of publication: |
2022
|
---|---|
Authors: | Pesenti, Silvana M. |
Published in: |
Risks : open access journal. - Basel : MDPI, ISSN 2227-9091, ZDB-ID 2704357-5. - Vol. 10.2022, 7, Art.-No. 141, p. 1-23
|
Subject: | distortion risk measures | expected utility | Wasserstein distance | robustness and sensitivity analysis | model uncertainty | Theorie | Theory | Sensitivitätsanalyse | Sensitivity analysis | Risiko | Risk | Erwartungsnutzen | Expected utility | Risikomaß | Risk measure | Messung | Measurement | Entscheidung unter Unsicherheit | Decision under uncertainty | Entscheidung unter Risiko | Decision under risk | Robustes Verfahren | Robust statistics |
-
On dynamic coherent and convex risk measures : risk optimal behavior and information gains
Engelage, Daniel, (2009)
-
Robust distortion risk measures
Bernard, Carole, (2024)
-
Stability advances in robust portfolio optimization under parallelepiped uncertainty
Kara, Güray, (2019)
- More ...
-
Scenario Weights for Importance Measurement (SWIM) – An R Package for Sensitivity Analysis
Pesenti, Silvana M., (2020)
-
Reverse Sensitivity Testing : What Does It Take to Break the Model?
Pesenti, Silvana M., (2018)
-
Euler Allocations in the Presence of Non-Linear Reinsurance : Comment on Major (2018)
Pesenti, Silvana M., (2018)
- More ...