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The new Basel accord and the nature of risk : a game theoretic perspective
Bieta, Volker; Broll, Udo; Milde, Hellmuth; Siebe, Wilfried - 2007
- game theory is a useful set of tools for better understanding different risk settings. Embedded in a short history of the … Basel Accord in this article we introduce some basic ideas of game theory in the context of rating procedures in accordance … with Basel II. As well, some insight is given how game theory works. Here, the primary value of game theory stems from its …
Persistent link: https://www.econbiz.de/10003481314
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Strategisches Risikomanagement in Versicherungen
Bieta, Volker; Siebe, Wilfried - In: Zeitschrift für die gesamte Versicherungswissenschaft … 91 (2002) 2, pp. 203-221
Persistent link: https://www.econbiz.de/10001696475
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Ganzheitliches Risikomanagement der Banken : ein Fall für die Spieltheorie
Bieta, Volker; Siebe, Wilfried - 1999
Persistent link: https://www.econbiz.de/10001369128
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Red-blooded risk : the secret history of Wall Street
Brown, Aaron - 2012
Persistent link: https://www.econbiz.de/10009427753
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A unified approach to sensitivity analysis in equilibrium displacement models: reply
Davis, George C.; Espinoza, Maria Cristina - In: American journal of agricultural economics 82 (2000) 1, pp. 241-243
Persistent link: https://www.econbiz.de/10001484392
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On the impossibility of fair risk allocation
Csóka, Péter; Pintér, Miklós - 2011
Measuring and allocating risk properly are crucial for performance evaluation and internal capital allocation of portfolios held by banks, insurance companies, investment funds and other entities subject to financial risk. We show that by using coherent measures of risk it is impossible to...
Persistent link: https://www.econbiz.de/10008991828
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Stochastic differential investment and reinsurance games with nonlinear risk processes and VaR constraints
Wang, Ning; Zhang, Nan; Zhuo, Jin; Qian, Linyi - In: Insurance / Mathematics & economics 96 (2021), pp. 168-184
Persistent link: https://www.econbiz.de/10012482845
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Allocation of risk capital in a cost cooperative game induced by a modified expected shortfall
Bernardi, Mauro; Cerqueti, Roy; Palestini, Arsen - In: Journal of the Operational Research Society 72 (2021) 3, pp. 628-641
Persistent link: https://www.econbiz.de/10012500976
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Analysing consumer RP in a dual-channel supply chain with a risk-averse retailer
Jiang, Yushan; Li, Bo; Song, Dongping - In: European journal of industrial engineering : EJIE 11 (2017) 3, pp. 271-302
Persistent link: https://www.econbiz.de/10011844453
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A risk-averse and buyer-led supply chain under option contract : CVaR minimization and channel coordination
Fan, Yinghua; Yi, Feng; Shou, Yongyi - In: International journal of production economics 219 (2020), pp. 66-81
Persistent link: https://www.econbiz.de/10012155186