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Entropy coherent and entropy convex measures of risk
Laeven, Roger J. A.; Stadje, Mitja - In: Mathematics of operations research 38 (2013) 2, pp. 265-293
Persistent link: https://www.econbiz.de/10009751526
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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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The minimal k-entropy martingale measure
Trivellato, Barbara - In: International journal of theoretical and applied finance 15 (2012) 5, pp. 1-22
Persistent link: https://www.econbiz.de/10009672603
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Dual representations for systemic risk measures
Ararat, Çağın; Rudloff, Birgit - In: Mathematics and financial economics 14 (2020) 1, pp. 139-174
Persistent link: https://www.econbiz.de/10012239989
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Set-valued shortfall and divergence risk measures
Ararat, Çağin; Hamel, Andreas; Rudloff, Birgit - In: International journal of theoretical and applied finance 20 (2017) 5, pp. 1-48
Persistent link: https://www.econbiz.de/10011733939
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Large deviations for risk measures in finite mixture models
Bignozzi, Valeria; Macci, Claudio; Petrella, Lea - In: Insurance / Mathematics & economics 80 (2018), pp. 84-92
Persistent link: https://www.econbiz.de/10011872915