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Embrechts, Paul; Liu, Haiyan; Wang, Ruodu - 2017 - This version: October 24, 2017

-Debreu equilibrium is established for some simple, yet natural settings. Further, we investigate the problem of model uncertainty in risk …

Persistent link: https://www.econbiz.de/10011874813

Risk measures based on benchmark loss distributions

Bignozzi, Valeria; Burzoni, Matteo; Munari, Cosimo-Andrea - 2018

We introduce a class of quantile-based risk measures that generalize Value at Risk (VaR) and, likewise Expected Shortfall (ES), take into account both the frequency and the severity of losses. Under VaR a single confidence level is assigned regardless of the size of potential losses. We allow...

Persistent link: https://www.econbiz.de/10011900226

Quantile-based risk sharing

Embrechts, Paul; Liu, Haiyan; Wang, Ruodu - In: Operations research 66 (2018) 4, pp. 936-949

Persistent link: https://www.econbiz.de/10011916624

Optimal stopping under uncertainty in drift and jump intensity

Krätschmer, Volker; Ladkau, Marcel; Laeven, Roger J. A.; … - In: Mathematics of operations research 43 (2018) 4, pp. 1177-1209

Persistent link: https://www.econbiz.de/10011956978

Robust return risk measures

Bellini, Fabio; Laeven, Roger J. A.; Rosazza Gianin, … - In: Mathematics and financial economics 12 (2018) 1, pp. 5-32

Persistent link: https://www.econbiz.de/10011963258

Convex risk measures for the aggregation of multiple information sources and applications in insurance

Papayiannis, G. I.; Yannacopoulos, Athanasios N. - In: Scandinavian actuarial journal (2018) 9, pp. 792-822

Persistent link: https://www.econbiz.de/10011939747

Structural quantification of the ripple effect in the supply chain

Sokolov, Boris; Ivanov, Dmitry; Dolgui, Alexandre; … - In: International journal of production research 54 (2016) 1/2, pp. 152-169

Persistent link: https://www.econbiz.de/10011491260

The order of knowledge and robust action : how to deal with economic uncertainty?

Falkinger, Josef - 2015

lose gains from specialization. Need for robustness comes from our limited knowledge. Rational dealing with uncertainty …Economic uncertainty has to do with the consequences of actions under different circumstances. This raises two … distinguish between environments? Robustness comes at the price of targeting actions less narrowly to specific conditions, so we …

Persistent link: https://www.econbiz.de/10011326624

Four types of ignorance

Hansen, Lars Peter; Sargent, Thomas J. - In: Journal of monetary economics 69 (2015), pp. 97-113

Persistent link: https://www.econbiz.de/10011326677

A new comparative approach to macroeconomic modeling and policy analysis

Wieland, Volker; Cwik, Tobias; Müller, Gernot J.; … - 2012

In the aftermath of the global financial crisis, the state of macroeconomicmodeling and the use of macroeconomic models in policy analysis has come under heavy criticism. Macroeconomists in academia and policy institutions have been blamed for relying too much on a particular class of...

Persistent link: https://www.econbiz.de/10010391307