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Bounds for nested law invariant coherent risk measures

Xin, Linwei; Shapiro, Alexander - In: Operations research letters 40 (2012) 6, pp. 431-435

Persistent link: https://www.econbiz.de/10009716584

Selected papers on risk measurment presented at the 2012 IRM conference on global standards for risk measurement, management and regulation

International Risk Management Conference <5, 2012, Rom> - 2013

Persistent link: https://www.econbiz.de/10009759167

A framework to manage the measurable, immeasurable and the unidentifiable finanacial risk

Ganegoda, Amandha; Evans, John - In: Australian journal of management 39 (2014) 1, pp. 5-34

Persistent link: https://www.econbiz.de/10010353559

Optimal reinsurance in the presence of counterparty default risk

Asimit, Alexandru V.; Badescu, Alexandru M.; Cheung, Ka Chun - In: Insurance / Mathematics & economics 53 (2013) 3, pp. 690-697

Persistent link: https://www.econbiz.de/10010227904

A representation of risk measures

Amarante, Massimiliano - 2013

Persistent link: https://www.econbiz.de/10010230249

Beyond cash-additive risk measures : when changing the numéraire fails

Farkas, Walter; Koch Medina, Pablo; Munari, Cosimo - In: Finance and stochastics 18 (2014) 1, pp. 145-173

Persistent link: https://www.econbiz.de/10010235455

Risk measures and nonlinear expectations

Chen, Zengjing; He, Kun; Kulperger, Reg - In: Journal of mathematical finance 3 (2013) 3, pp. 383-391

Persistent link: https://www.econbiz.de/10010239533

Average drawdown risk and capital asset pricing

Tavakoli Baghdadabad, Mohammad Reza; Glabadanidis, Paskalis - In: Review of Pacific Basin financial markets and policies 16 (2013) 4, pp. 1-21

Persistent link: https://www.econbiz.de/10010241626

Optimal reinsurance : a risk sharing approach

Balbás de la Corte, Alejandro; Balbas, Beatriz; … - In: Risks : open access journal 1 (2013) 2, pp. 45-56

This paper proposes risk sharing strategies, which allow insurers to cooperate and diversify non-systemic risk. We deal … with both deviation measures and coherent risk measures and provide general mathematical methods applying to optimize them … all. Numerical examples are given in order to illustrate how efficiently the non-systemic risk can be diversified and how …

Persistent link: https://www.econbiz.de/10010199029

Risk allocation under liquidity constraints

Csóka, Péter; Herings, Peter Jean-Jacques - 2013

Persistent link: https://www.econbiz.de/10010199466