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Risk measure inference
Hurlin, Christophe; Laurent, Sébastien; Quaedvlieg, Rogier - In: Journal of business & economic statistics : JBES ; a … 35 (2017) 4, pp. 499-512
Persistent link: https://www.econbiz.de/10011893687
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General dual measures of riskiness
Schulze, Klaas - In: Theory and decision : an international journal for … 78 (2015) 2, pp. 289-304
Persistent link: https://www.econbiz.de/10010513819
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A comonotonic image of independence for additive risk measures
Goovaerts, Marc J.; Kaas, R.; Laeven, Roger J. A.; … - 2004
This paper presents a new axiomatic characterization of risk measures that are additive for independent random variables. In contrast to previous work, we include an axiom that guarantees monotonicity of the risk measure. Furthermore, the axiom of additivity for independent random variables is...
Persistent link: https://www.econbiz.de/10011334834
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The impact of highter order moments added to the multiscale Carhart model for different investment periods
Trimech, Anyssa - In: International journal of decision sciences, risk and … 5 (2013/14) 3, pp. 263-276
Persistent link: https://www.econbiz.de/10011347007
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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
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A comparison of expected shortfall estimation models
Righi, Marcelo Brutti; Ceretta, Paulo Sergio - In: Journal of economics & business 78 (2015), pp. 14-47
Persistent link: https://www.econbiz.de/10011317189
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The Foster-Hart measure of riskiness for general gambles
Riedel, Frank; Hellmann, Tobias - In: Theoretical economics : TE ; journal of the Econometric … 10 (2015) 1, pp. 1-9
Persistent link: https://www.econbiz.de/10010528233
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Risk measures and capital requirements : a critique of the Solvency II approach
Floreani, Alberto - In: The Geneva papers on risk and insurance - issues and … 38 (2013) 2, pp. 189-212
Persistent link: https://www.econbiz.de/10009752627
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Systematic stress tests with entropic plausibility constraints
Breuer, Thomas; Csiszár, Imre - In: Journal of banking & finance 37 (2013) 5, pp. 1552-1559
Persistent link: https://www.econbiz.de/10009729051
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A representation of risk measures
Amarante, Massimiliano - 2013
Persistent link: https://www.econbiz.de/10010230249