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Costa, Bernardo Freitas Paulo da [Author]; Pesenti, Silvana M. [Author]; Targino, Rodrigo [Author]

Risk Budgeting Portfolios from Simulations

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[S.l.]: SSRN, [2022]
Nisani, Doron [Author]

On the General Deviation Measure and the Gini coefficient

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2023

Published in: International journal of economic theory ; 19(2023), 3 vom: Sept., Seite 599-610
Rau-Bredow, Hans [Author]

Bigger is not always safer: A critical analysis of the subadditivity assumption for coherent risk measures

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Basel: MDPI, 2019
Rudloff, Birgit [Author]

A generalized Neyman-Pearson lemma for hedge problems in incomplete markets

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https://nbn-resolving.org/urn:nbn:de:swb:ch1-200501316

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Chemnitz: Technische Universität Chemnitz, [2005]

Published in: Tagungsband zum Workshop "Stochastische Analysis", 27.09.2004 - 29.09.2004
Bäuerle, Nicole [Author]; Müller, Alfred [Author]

Stochastic orders and risk measures: Consistency and bounds

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Elsevier, 2009-10-20

Published in: Insurance Mathematics and Economics, 38 (1), 132-148 ; ISSN: 0167-6687
Zheng, Chengli [Author]; Chen, Yan [Author]

Allocation of risk capital based on iso-entropic coherent risk measure

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Barcelona: OmniaScience, 2015
Rossello, Damiano [Author]

Performance measurement with expectiles

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https://link.springer.com/content/pdf/10.1007/s10203-022-00369-8.pdf

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2022

Published in: Decisions in economics and finance ; 45(2022), 1 vom: Juni, Seite 343-374
Coculescu, Delia [Author]; Delbaen, Freddy [Author]

Group cohesion under individual regulatory constraints

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https://www.tandfonline.com/doi/pdf/10.1080/03461238.2021.1934104

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2022

Published in: Scandinavian actuarial journal ; 2022(2022), 1, Seite 80-93
Balog, Dóra [Author]; Bátyi, Tamás László [Author]; Csóka, Péter [Author]; Kóczy, László Á. [Author]; Pintér, Péter Miklós [Author]

Properties of risk capital allocation methods: Core Compatibility, Equal Treatment Property and Strong Monotonicity

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http://hdl.handle.net/10419/108340

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Budapest: Hungarian Academy of Sciences, Institute of Economics, Centre for Economic and Regional Studies, 2014
Ahmed, Shabbir [Author]; Cakmak, Ulas [Author]; Shapiro, Alexander [Author] ; Higle, Julie L. [Contributor]; Römisch, Werner [Contributor]; Sen, Surrajeet [Contributor]

Coherent Risk Measures in Inventory Problems

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http://edoc.hu-berlin.de/18452/9002

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Humboldt-Universität zu Berlin, Mathematisch-Naturwissenschaftliche Fakultät II, Institut für Mathematik, 2006-01-02
Bihary, Zsolt [Author]; Csóka, Péter [Author]; Szabó, Dávid Zoltán [Author]

Spectral risk measure of holding stocks in the long run

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http://hdl.handle.net/10419/222025

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Budapest: Hungarian Academy of Sciences, Institute of Economics, 2018
Bazovkin, Pavlo [Author] ; Mosler, Karl C. [Other]; Breitung, Jörg [Other]

Geometrical Methods in Multivariate Risk Management: Algorithms and Applications

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https://d-nb.info/111930038X/34

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Köln: Universitäts- und Stadtbibliothek Köln, 2014
Ruscitti, Francesco [Author]; Dubey, Ram Sewak [Author]; Laguzzi, Giorgio [Author]

Decision-Making Under Risk : When Is Utility Maximization Equivalent To Risk Minimization?

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https://ssrn.com/abstract=4318160

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[S.l.]: SSRN, 2023
Takano, Yuichi [Author]; Gotoh, Jun-ya [Author]

Dynamic portfolio selection with linear control policies for coherent risk minimization

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https://www.sciencedirect.com/science/article/pii/S2214716022000331/pdfft?md5=2b49bcb5c23fa9c8b02308159874113c&pid=1-s2.0-S2214716022000331-main.pdf

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2023

Published in: Operations research perspectives ; 10(2023), Artikel-ID 100262, Seite 1-10
Coculescu, Delia [Author]; Delbaen, Freddy [Author]

Fairness principles for insurance contracts in the presence of default risk

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2022

Published in: Mathematical finance ; 32(2022), 2 vom: Apr., Seite 595-626
Hernández Solís, Montserrat [Author]; Lozano Colomer, Cristina [Author]; Vilar Zanón, José Luis [Author]

La prima de riesgo recargada en un seguro de rentas: Tarificación mediante el uso de una medida de riesgo coherente

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Sevilla: Universidad Pablo de Olavide, 2013
Krätschmer, Volker [Author]; Belomestny, Denis [Author]

Central Limit Theorems for Law-Invariant Coherent Risk Measures

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Weierstrass Institute for Applied Analysis and Stochastics publication server, 2012
Belomestny, Denis [Author]; Krätschmer, Volker [Author]

Central limit theorems for law-invariant coherent risk measures - [published Version]

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https://oa.tib.eu/renate/handle/123456789/2346

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Berlin : Weierstraß-Institut für Angewandte Analysis und Stochastik, 2010

Published in: Preprint / Weierstraß-Institut für Angewandte Analysis und Stochastik, Volume 1551, ISSN 0946-8633
Pinelis, Iosif [Author]

An optimal three-way stable and monotonic spectrum of bounds on quantiles: A spectrum of coherent measures of financial risk and economic inequality

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Basel: MDPI, 2014
Zeller, Gabriela [Author]; Scherer, Matthias [Author]

Risk mitigation services in cyber insurance : optimal contract design and price structure

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2023

Published in: The Geneva papers on risk and insurance - issues and practice ; 48(2023), 2 vom: Apr., Seite 502-547

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