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Risk measures for processes and BSDEs

Penner, Irina; Réveillac, Anthony - In: Finance and stochastics 19 (2015) 1, pp. 23-66

Persistent link: https://www.econbiz.de/10011417006

Multi-portfolio time consistency for set-valued convex and coherent risk measures

Feinstein, Zachary; Rudloff, Birgit - In: Finance and stochastics 19 (2015) 1, pp. 67-107

Persistent link: https://www.econbiz.de/10011417030

Comonotonic approximations of risk measures for variable annuity guaranteed benefits with dynamic policyholder behavior

Feng, Runhuan; Jing, Xiaochen; Dhaene, Jan - 2015

Persistent link: https://www.econbiz.de/10011418916

Aggregation-robustness and model uncertainty of regulatory risk measures

Embrechts, Paul; Wang, Bin; Wang, Ruodu - In: Finance and stochastics 19 (2015) 4, pp. 763-790

Persistent link: https://www.econbiz.de/10011420503

Robust material handling system design with standard deviation, variance and downside risk as risk measures

Mital, Pratik; Goetschalkx, Marc; Huang, Edward - In: International journal of production economics 170 (2015), pp. 815-824

Persistent link: https://www.econbiz.de/10011422505

Optimal hedge ratio under a subjective re-weighting of the original measure

Barbi, Massimiliano; Romagnoli, Silvia - In: Applied economics 48 (2016) 13/15, pp. 1271-1280

Persistent link: https://www.econbiz.de/10011433130

Portfolio selection with uncertainty measures consistent with additive shifts

Giacometti, Rosella; Ortobelli, Sergio; Tichý, Tomáš - In: Prague economic papers : a bimonthly journal of … 24 (2015) 1, pp. 3-16

Persistent link: https://www.econbiz.de/10011288798

Tail risk in energy portfolios

González-Pedraz, Carlos; Moreno, Manuel; Peña … - In: Energy economics 46 (2014), pp. 422-434

Persistent link: https://www.econbiz.de/10011298962

A comonotonic image of independence for additive risk measures

Goovaerts, Marc J.; Kaas, R.; Laeven, Roger J. A.; … - 2004

This paper presents a new axiomatic characterization of risk measures that are additive for independent random … variables. In contrast to previous work, we include an axiom that guarantees monotonicity of the risk measure. Furthermore, the …. The risk measure characterized can be regarded as a mixed exponential premium. …

Persistent link: https://www.econbiz.de/10011334834

Dynamic portfolio choice when risk is measured by weighted VaR

He, Xue Dong; Jin, Hanqing; Zhou, Xun Yu - In: Mathematics of operations research 40 (2015) 3, pp. 773-796

Persistent link: https://www.econbiz.de/10011338687