We introduce the notion of a convex measure of risk, an extension of the concept of a coherent risk measure defined in … Artzner et aL (1999), and we prove a corresponding extension of the representation theorem in terms of probability measures on … the underlying space of scenarios. As a case study, we consider convex measures of risk defined in terms of a robust not …

We determine the increase of the maximum risk over the minimax risk in the case that the optimally robust estimator for … the relative risk is minimized in the case that the radius is known only to belong to some interval [pr, l'/p] " The … effect of increasing parameter dimension is studied for these models. The minimax increase of relative risk in ease p = 0 …

; monetary policy instruments of the ECB ; interest rate risk …

generated by a Lévy process and agents exhibit constant relative risk aversion, closed-form solutions are derived. Depending on …

This paper presents a general theory that works out the relation between coherent risk measures, valuation bounds, and … preferences, in the way many coherent risk measures are somewhat generic. -- coherent risk rneasures ; valuation bounds … ; portfolio optirnization ; robust hedging ; convex cones ; dorninance relations ; convex duality ; incornplete rnarkets …

Empirical studies in family economics usually rely on questionnaires, statistical or panel data. Here we try to study …

hedging derivatives and of intertemporal consumption choice. …

(NIG) variates of potential use in risk management. Among others we treat in some detail the calibration of bivariate NIG … consistent with marginal NIG. -- risk management ; Normal Inverse Gaussian distribution …