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A note on a new weighted idiosyncratic risk measure

Jan, Yin-Ching - In: International journal of financial research 5 (2014) 3, pp. 194-198

Persistent link: https://www.econbiz.de/10010458525

Ordering and inequalities for mixtures on risk aggregation

Chen, Yuyu; Liu, Peng; Liu, Yang; Wang, Ruodu - In: Mathematical finance : an international journal of … 32 (2022) 1, pp. 421-451

Persistent link: https://www.econbiz.de/10012815980

Stochastic orders and multivariate measures of risk contagion

Ortega-Jiménez, P.; Sordo, M. A.; Suárez-Llorens, A. - In: Insurance / Mathematics & economics 96 (2021), pp. 199-207

Persistent link: https://www.econbiz.de/10012482851

Optimal reinsurance with expectile under the Vajda condition

Chen, Yanhong - In: Journal of risk 23 (2020/2021) 1, pp. 113-144

Persistent link: https://www.econbiz.de/10012500128

Decomposition of general premium principles into risk and deviation

Nendel, Max; Schmeck, Maren Diane; Riedel, Frank - 2020

In this paper, we provide an axiomatic approach to general premium priciples giving rise to a decomposition into risk … premium priciple, there exists a maximal risk measure capturing all risky components covered by the insurance prices. In a … second step, we consider dual representations of convex risk measures consistent with the premium priciple. In particular, we …

Persistent link: https://www.econbiz.de/10012243411

Comparing risk measures when aggregating market risk and credit risk using different copulas

Maciag, Jakob; Hesse, Frederik; Boeve, Rolf; Pfingsten, … - In: Journal of risk 18 (2016) 5, pp. 101-136

Persistent link: https://www.econbiz.de/10011598393

An axiomatic foundation for the expected shortfall

Wang, Ruodu; Zitikis, Ričardas - In: Management science : journal of the Institute for … 67 (2021) 3, pp. 1413-1429

Persistent link: https://www.econbiz.de/10012505987

Minimizing risk exposure when the choice of a risk measure is ambiguous

Delage, Erick; Li, Jonathan Yu-Meng - In: Management science : journal of the Institute for … 64 (2018) 1, pp. 327-344

Persistent link: https://www.econbiz.de/10011819577

FRM Financial Risk Meter

Althof, Michael - 2022

Persistent link: https://www.econbiz.de/10013390868

Period value at risk and its estimation by Monte Carlo simulation

Huo, Yanli; Xu, Chunhui; Shiina, Takayuki - In: Applied economics letters 29 (2022) 18, pp. 1675-1679

Persistent link: https://www.econbiz.de/10013412280