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Konsistente und konsequente dynamische Risikomaße und das Problem der Aktualisierung
Tutsch, Sina (contributor) - 2006
Mit der vorliegenden Dissertation wollen wir einen Beitrag zur Theorie der konvexen Risikomaße und ihrer Dynamik … Räumen beweisen wir die Existenz auf den Klassen der halbstetigen Funktionen. Für das bedingte Average Value at Risk zeigen …
Persistent link: https://www.econbiz.de/10003448659
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Relevant coherent measures of risk
Stoica, George - In: Journal of mathematical economics 42 (2006) 6, pp. 794-806
Persistent link: https://www.econbiz.de/10003376558
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Fundamentals-based risk measurement in valuation
Nekrasov, Alexander; Shroff, Pervin K. - In: The accounting review : a publication of the American … 84 (2009) 6, pp. 1983-2011
Persistent link: https://www.econbiz.de/10003919358
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One-parameter families of distortion risk measures
Tsukahara, Hideatsu - In: Mathematical finance : an international journal of … 19 (2009) 4, pp. 691-705
Persistent link: https://www.econbiz.de/10003937550
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Stability of the optimal reinsurance with respect to the risk measure
Balbás de la Corte, Alejandro; Balbás, Beatriz; … - 2010
Persistent link: https://www.econbiz.de/10003972666
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Decision principles derived from risk measures
Goovaerts, Marc J.; Kaas, R.; Laeven, Roger J. A. - In: Insurance / Mathematics & economics 47 (2010) 3, pp. 294-302
Persistent link: https://www.econbiz.de/10008747061
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Risk measures in ordered normed linear spaces with non-empty cone-interior
Konstantinides, Dimitrios G.; Kountzakis, Christos E. - In: Insurance / Mathematics & economics 48 (2011) 1, pp. 111-122
Persistent link: https://www.econbiz.de/10008839752
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The strictest common relaxation of a family of risk measures
Roorda, Berend; Schumacher, Johannes M. - In: Insurance / Mathematics & economics 48 (2011) 1, pp. 29-34
Persistent link: https://www.econbiz.de/10008839771
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A note on optimal lower bound approximations for risk measures of sums of lognormals
Vanduffel, Steven; Chen, X.; Dhaene, Jan; Goovaerts, Marc J. - 2006
Persistent link: https://www.econbiz.de/10003610847
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On tail value-at-risk for sums of non-independent random variables with a generalized Pareto distribution
Campana, Antonella - In: The Geneva risk and insurance review 32 (2007) 2, pp. 169-180
Persistent link: https://www.econbiz.de/10003569000