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Pareto optimal allocations and optimal risk sharing for quasiconvex risk measures

Mastrogiacomo, Elisa; Rosazza Gianin, Emanuela - In: Mathematics and financial economics 9 (2015) 2, pp. 149-167

Persistent link: https://www.econbiz.de/10011349444

Portfolio optimization with quasiconvex risk measures

Mastrogiacomo, Elisabetta; Rosazza Gianin, Emanuela - In: Mathematics of operations research 40 (2015) 4, pp. 1042-1059

Persistent link: https://www.econbiz.de/10011409050

Time-consistency of risk measures : how strong is such a property?

Mastrogiacomo, Elisa; Rosazza Gianin, Emanuela - In: Decisions in economics and finance : DEF ; a journal of … 42 (2019) 1, pp. 287-317

Persistent link: https://www.econbiz.de/10012065238

Capital allocation à la Aumann-Shapley for non-differentiable risk measures

Centrone, Francesca; Rosazza Gianin, Emanuela - In: European journal of operational research : EJOR 267 (2018) 2, pp. 667-675

Persistent link: https://www.econbiz.de/10011812548

Robust return risk measures

Bellini, Fabio; Laeven, Roger J. A.; Rosazza Gianin, … - In: Mathematics and financial economics 12 (2018) 1, pp. 5-32

Persistent link: https://www.econbiz.de/10011963258

Haezendonck-Goovaerts risk measures and Orlicz quantiles

Bellini, Fabio; Rosazza Gianin, Emanuela - In: Insurance / Mathematics & economics 51 (2012) 1, pp. 107-114

Persistent link: https://www.econbiz.de/10009558264

Generalized quantiles as risk measures

Bellini, Fabio; Klar, Bernhard; Müller, Alfred; … - In: Insurance / Mathematics & economics 54 (2014), pp. 41-48

Persistent link: https://www.econbiz.de/10010259683

On Haezendonck risk measures

Bellini, Fabio; Rosazza Gianin, Emanuela - In: Journal of banking & finance 32 (2008) 6, pp. 986-994

Persistent link: https://www.econbiz.de/10003733781

Time-Consistency of Risk Measures : How Strong is Such a Property?

Mastrogiacomo, Elisa - 2018

Quite recently, a great interest has been devoted to time-consistency of risk measures in its different formulations (see Delbaen, Follmer and Penner, Bion-Nadal, Delbaen et al., Laeven and Stadje, among many others). However, almost all the papers address to coherent or convex risk measures...

Persistent link: https://www.econbiz.de/10012922708

Haezendonck-Goovaerts capital allocation rules

Canna, Gabriele; Centrone, Francesca; Rosazza Gianin, … - In: Insurance / Mathematics & economics 101 (2021) 2, pp. 173-185

Persistent link: https://www.econbiz.de/10012793922