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Measuring risk when expected losses are unbounded
Balbás de la Corte, Alejandro; Blanco, Iván; Garrido, … - In: Risks : open access journal 2 (2014) 4, pp. 411-424
This paper proposes a new method to introduce coherent risk measures for risks with infinite expectation, such as those … characterized by some Pareto distributions. Extensions of the conditional value at risk, the weighted conditional value at risk and …
Persistent link: https://www.econbiz.de/10010489103
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Weighted comonotonic risk sharing under heterogeneous beliefs
Liu, Haiyan - In: ASTIN bulletin : the journal of the International … 50 (2020) 2, pp. 647-673
Persistent link: https://www.econbiz.de/10012243394
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Optimal stop-loss reinsurance under the VaR and CTE risk measures : variable transformation method
Du, Junhong; Li, Zhiming; Wu, Lijun - In: Computational economics 53 (2019) 3, pp. 1133-1151
Persistent link: https://www.econbiz.de/10012135119
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On the equivalence between Value-at-Risk- and Expected Shortfall-based risk measures in non-concave optimization
Chen, An; Stadje, Mitja; Zhang, Fangyuan - In: Insurance : mathematics and economics 117 (2024), pp. 114-129
Persistent link: https://www.econbiz.de/10015066953
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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
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Primary-firm-driven portfolio loss
Turnbull, Stuart M. - In: The journal of credit risk : published quarterly by … 13 (2017) 2, pp. 33-52
Persistent link: https://www.econbiz.de/10011777676
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Risk management under weighted limited expected loss
Chen, An; Nguyen, Thai - In: Quantitative finance 24 (2024) 5, pp. 593-612
Persistent link: https://www.econbiz.de/10014552107
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Worst Expected Best method for assessment of probabilistic network expected value at risk : application in supply chain risk management
Qazi, Abroon; Simsekler, Mecit Can Emre - In: International journal of quality & reliability management 39 (2022) 1, pp. 155-175
Persistent link: https://www.econbiz.de/10013169327
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Quantile-based risk sharing with heterogeneous beliefs
Embrechts, Paul; Liu, Haiyan; Mao, Tiantian; Wang, Ruodu - 2017
We study risk sharing games with quantile-based risk measures and heterogeneous beliefs, motivated by the use of … equivalent to equilibrium allocations, and the equilibrium price is unique. For Value-at-Risk (VaR) agents or mixed VaR and ES … agents, a competitive equilibrium does not exist. Our results generalize existing ones on risk sharing games with risk …
Persistent link: https://www.econbiz.de/10011875652
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On historical value at risk under distribution uncertainty
Iizuka, Atsushi; Nakano, Yumiharu - In: Journal of mathematical finance 5 (2015) 2, pp. 113-118
Persistent link: https://www.econbiz.de/10011398743