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1
Stochastic dominance and risk measure : a decision-theoretic foundation for VaR and C-VaR
Ma, Chenghu
;
Wong, Wing Keung
- In:
European journal of operational research : EJOR
207
(
2010
)
2
,
pp. 927-935
Persistent link: https://www.econbiz.de/10008652647
Saved in:
2
On optimal allocation of risk vectors
Kiesel, Swen
;
Rüschendorf, Ludger
- In:
Insurance / Mathematics & economics
47
(
2010
)
2
,
pp. 167-175
Persistent link: https://www.econbiz.de/10008654261
Saved in:
3
Markets liquidity risk under extremal dependence : analysis with VaRs methods
Ourir, Awatef
;
Snoussi, Wafa
- In:
Economic modelling
29
(
2012
)
5
,
pp. 1830-1836
Persistent link: https://www.econbiz.de/10009667092
Saved in:
4
Equivalence of robust VaR and CVaR optimization
Lofti, Somayyeh
;
Zenios, Stauros Andrea
-
2016
-
Date of first version: April 4, 2016
Persistent link: https://www.econbiz.de/10011539339
Saved in:
5
Optimal reinsurance under VaR and TVaR risk measures in the presence of reinsurer's risk limit
Lu, ZhiYi
;
Meng, LiLi
;
Wang, Yujing
;
Shen, Qingjie
- In:
Insurance / Mathematics & economics
68
(
2016
),
pp. 92-100
Persistent link: https://www.econbiz.de/10011492551
Saved in:
6
Value-at-risk analysis : a review and the potential for agricultural applications
Manfredo, Mark R.
;
Leuthold, Raymond M.
- In:
Review of agricultural economics : RAE
21
(
1999
)
1
,
pp. 99-111
Persistent link: https://www.econbiz.de/10001417821
Saved in:
7
Leisure and long-run risks : an empirical evaluation on value premium puzzle
Zhang, Xiang
- In:
The North American journal of economics and finance : a …
54
(
2020
),
pp. 1-27
Persistent link: https://www.econbiz.de/10012664492
Saved in:
8
On capital allocation for a risk measure derived from ruin
theory
Delsing, G. A.
;
Mandjes, Michel
;
Spreij, P. J. C.
; …
- In:
Insurance / Mathematics & economics
104
(
2022
),
pp. 76-98
Persistent link: https://www.econbiz.de/10013264939
Saved in:
9
Multi-moment risk, hedging strategies, & the business cycle
Racicot, François-Éric
;
Théoret, Raymond
- In:
International review of economics & finance : IREF
58
(
2018
),
pp. 637-675
Persistent link: https://www.econbiz.de/10012034253
Saved in:
10
How to choose the return model for market risk? : getting towards a right magnitude of stressed VaR
Lichtner, Mark
- In:
Quantitative finance
19
(
2019
)
8
,
pp. 1391-1407
Persistent link: https://www.econbiz.de/10012194794
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