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Distribution-invariant risk measures, information, and dynamic consistency

Weber, Stefan - In: Mathematical finance : an international journal of … 16 (2006) 2, pp. 419-441

Persistent link: https://www.econbiz.de/10003326030

Distribution-invariant dynamic risk measures

Weber, Stefan (contributor) - 2003 - [Elektronische Ressource], rev

Persistent link: https://www.econbiz.de/10001917139

Solvency II, or how to sweep the downside risk under the carpet

Weber, Stefan - In: Insurance / Mathematics & economics 82 (2018), pp. 191-200

Persistent link: https://www.econbiz.de/10011929871

Liquidity-adjusted risk measures

Weber, Stefan; Anderson, W.; Hamm, A.-M.; Knispel, Thomas; … - In: Mathematics and financial economics 7 (2013) 1, pp. 69-91

Persistent link: https://www.econbiz.de/10009708950

Simulation methods for robust risk assessment and the distorted mix approach

Kim, Sojung; Weber, Stefan - In: European journal of operational research : EJOR 298 (2022) 1, pp. 380-398

Persistent link: https://www.econbiz.de/10013206852

Cyber insurance : models and methods and the use of AI

Weber, Stefan; Scherer, Matthias; Pascu, Corina; Barros … - Europäische Union / Agentur für Cybersicherheit - 2024

Persistent link: https://www.econbiz.de/10014534771

Multinomial Backtesting of Distortion Risk Measures

Weber, Stefan; Kim, Sojung; Bettels, Sören - 2022

We extend the scope of risk measures for which backtesting models are available by proposing a multinomial backtesting method for general distortion risk measures. The method relies on a stratification and randomization of risk levels. We illustrate the performance of our methods in numerical...

Persistent link: https://www.econbiz.de/10013300748