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Putting order in risk measures. (2002). RosazzaGianin, Emanuela ; Frittelli, Marco.
In: Journal of Banking & Finance.
RePEc:eee:jbfina:v:26:y:2002:i:7:p:1473-1486.

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  2. Robust multiple stopping — A duality approach. (2024). Laeven, Roger ; Laeven, R. J. A., ; Schweizer, Nikolaus ; Stadje, M A.
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  5. Coherent risk measures and uniform integrability. (2024). Wang, Ruodu ; Huang, Muqiao.
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  6. Set-valued Star-Shaped Risk Measures. (2024). Jiang, Long ; Tian, Dejian ; Nie, Bingchu.
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  8. The Prospect Theory and First Price Auctions: an Explanation of Overbidding. (2023). Apostolov, Mico ; Dushko, Josheski.
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  10. Distorted probability operator for dynamic portfolio optimization in times of socio-economic crisis. (2023). Brzeczek, Tomasz ; Uurlu, Kerem.
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  11. Is there a risk premium? Evidence from thirteen measures. (2023). Ramos, Henrique Pinto ; Muller, Fernanda Maria ; Fracasso, Lais Martins ; Righi, Marcelo Brutti.
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  12. Adjusted Rényi entropic Value-at-Risk. (2023). Hu, Taizhong ; Xia, Zichao ; Wu, Qinyu ; Zou, Zhenfeng.
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  14. Probabilistic Scenario-Based Assessment of National Food Security Risks with Application to Egypt and Ethiopia. (2023). Papayiannis, Georgios I ; Koundouri, Phoebe ; Yannacopoulos, Athanasios N ; Vassilopoulos, Achilleas.
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  18. Dynamic Return and Star-Shaped Risk Measures via BSDEs. (2023). Laeven, Roger ; Zullino, Marco ; Gianin, Emanuela Rosazza.
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  19. Dynamic star-shaped risk measures and $g$-expectations. (2023). Wang, Xunlian ; Tian, Dejian.
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  20. Robust optimized certainty equivalents and quantiles for loss positions with distribution uncertainty. (2023). Tian, Dejian ; Li, Weiwei.
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  24. Set-valued dynamic risk measures for processes and for vectors. (2022). Feinstein, Zachary ; Chen, Yanhong.
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  27. On the link between monetary and star-shaped risk measures. (2022). Righi, Marcelo Brutti ; Moresco, Marlon Ruoso.
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  28. Existence of solutions for a class of bilevel stochastic linear programs. (2022). Claus, Matthias.
    In: European Journal of Operational Research.
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  29. The limitations of comonotonic additive risk measures: a literature review. (2022). de Oliveira, Eduardo ; Righi, Marcelo Brutti ; Santos, Samuel Solgon.
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  30. Risk measurement of joint risk of portfolios: a liquidity shortfall aspect. (2022). Wei, Linxiao ; Hu, Yijun ; Gong, Shuo.
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  31. Distortion risk measures in random environments: construction and axiomatic characterization. (2022). Wei, Linxiao ; Hu, Yijun ; Gong, Shuo.
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  32. A risk measurement approach from risk-averse stochastic optimization of score functions. (2022). Moresco, Marlon Ruoso ; Muller, Fernanda Maria ; Righi, Marcelo Brutti.
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  33. Quasi-Logconvex Measures of Risk. (2022). Gianin, Emanuela Rosazza ; RosazzaGianin, Emanuela .
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  35. Deep Learning for Systemic Risk Measures. (2022). Fouque, Jean-Pierre ; Min, Ming ; Feng, Yichen.
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  36. ESG-Valued Portfolio Optimization and Dynamic Asset Pricing. (2022). Rachev, Svetlozar T ; Mittnik, Stefan ; Lindquist, Brent W ; Lauria, Davide.
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  38. Sensitivity to large losses and $\rho$-arbitrage for convex risk measures. (2022). Herdegen, Martin ; Khan, Nazem.
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  39. Robust Policy Selection and Harvest Risk Quantification for Natural Resources Management under Model Uncertainty. (2022). Papayiannis, Georgios I.
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  40. Multinomial Backtesting of Distortion Risk Measures. (2022). Kim, Sojung ; Bettels, Soren ; Weber, Stefan.
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  41. Decomposable sums and their implications on naturally quasiconvex risk measures. (2022). Mastrogiacomo, Elisa ; Bilir, Barics ; Ararat, Ccaugin.
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  43. Set optimization of set-valued risk measures. (2021). Rocca, Matteo ; Mastrogiacomo, Elisa.
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  44. An Axiomatic Foundation for the Expected Shortfall. (2021). Zitikis, Riardas ; Wang, Ruodu.
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  45. Generalized entropic risk measures and related BSDEs. (2021). Tian, Dejian ; Ma, Hanmin.
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  46. Dynamic robust Orlicz premia and Haezendonck–Goovaerts risk measures. (2021). Laeven, Roger ; Bellini, Fabio ; Gianin, Emanuela Rosazza ; RosazzaGianin, Emanuela .
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  49. Unification of different systemic risk measures and Aumann-Shapley allocations. (2021). Schindler, Florian ; Overbeck, Ludger.
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  51. Risk measures beyond frictionless markets. (2021). Munari, Cosimo ; Arduca, Maria.
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  52. Cash-subadditive risk measures without quasi-convexity. (2021). Wang, Ruodu ; Han, Xia ; Xia, Jianming.
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  53. Star-shaped acceptability indexes. (2021). Righi, Marcelo Brutti.
    In: Papers.
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  54. On the link between monetary and star-shaped risk measures. (2021). Righi, Marcelo Brutti ; Moresco, Marlon.
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  55. Automatic Fatou Property of Law-invariant Risk Measures. (2021). Li, Lei ; Leung, Denny ; Gao, Niushan ; Chen, Shengzhong.
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  56. Distributionally robust portfolio maximisation and marginal utility pricing in discrete time. (2021). Obloj, Jan ; Wiesel, Johannes.
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  57. Star-shaped Risk Measures. (2021). Wang, Ruodu ; Tebaldi, Claudio ; Maccheroni, Fabio ; Cattelan, Giacomo ; Castagnoli, Erio .
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  58. Set-Valued Dynamic Risk Measures for Processes and Vectors. (2021). Feinstein, Zachary ; Chen, Yanhong.
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  62. CAPITAL ALLOCATION FOR SET-VALUED RISK MEASURES. (2020). Gianin, Emanuela Rosazza ; RosazzaGianin, Emanuela ; Centrone, Francesca.
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  63. Qualitative robustness of set-valued value-at-risk. (2020). Mastrogiacomo, Elisa ; Crespi, Giovanni Paolo.
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  64. Prevention efforts, insurance demand and price incentives under coherent risk measures. (2020). Kazi-Tani, Nabil ; Santibaez, Nicolas Hernandez ; Bensalem, Sarah.
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  65. Ruin-based risk measures in discrete-time risk models. (2020). Zuyderhoff, Pierre ; Trufin, Julien ; Marceau, Etienne ; Cossette, Helene.
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  66. Monetary Risk Measures. (2020). Xia, Jianming ; Jia, Guangyan ; Zhao, Rongjie.
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  67. Conditional Systemic Risk Measures. (2020). Frittelli, Marco ; Doldi, Alessandro.
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  68. Robust Multiple Stopping -- A Pathwise Duality Approach. (2020). Laeven, Roger ; Stadje, Mitja ; John , .
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  69. Entropy Martingale Optimal Transport and Nonlinear Pricing-Hedging Duality. (2020). Frittelli, Marco ; Doldi, Alessandro.
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  70. Inf-convolution and optimal risk sharing with arbitrary sets of risk measures. (2020). Righi, Marcelo Brutti.
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  71. SET-VALUED LAW INVARIANT COHERENT AND CONVEX RISK MEASURES. (2019). Hu, Yijun ; Chen, Yanhong.
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  72. Dynamic systemic risk measures for bounded discrete time processes. (2019). Zilch, K ; Overbeck, L ; Kromer, E.
    In: Mathematical Methods of Operations Research.
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  73. An ergodic BSDE approach to forward entropic risk measures: representation and large-maturity behavior. (2019). Liang, Gechun ; Hu, Ying ; Chong, Wing Fung ; Zariphopoulou, Thaleia.
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  74. Time-consistency of risk measures: how strong is such a property?. (2019). Mastrogiacomo, Elisa ; Gianin, Emanuela Rosazza ; RosazzaGianin, Emanuela .
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  75. A composition between risk and deviation measures. (2019). Righi, Marcelo Brutti.
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  76. Coherent diversification measures in portfolio theory: An axiomatic foundation. (2019). Dionne, Georges ; Koumou, Gilles Boevi.
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  77. Implied risk aversion: an alternative rating system for retail structured products. (2019). Seifried, F T ; Sass, J ; Geissel, S ; Fink, H.
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  78. Continuous-Time Portfolio Choice Under Monotone Mean-Variance Preferences—Stochastic Factor Case. (2019). Zawisza, Dariusz ; Trybua, Jakub.
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  79. Prevention efforts, insurance demand and price incentives under coherent risk measures. (2019). Kazi-Tani, Nabil ; Santibaez, Nicolas Hernandez ; Bensalem, Sarah.
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  80. Bigger Is Not Always Safer: A Critical Analysis of the Subadditivity Assumption for Coherent Risk Measures. (2019). Rau-Bredow, Hans.
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  81. Dynamic risk measures for processes via backward stochastic differential equations. (2019). Wang, Shijie ; Shi, Xuejun ; Ji, Ronglin ; Zhou, Jinming.
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  82. Optimal initial capital induced by the optimized certainty equivalent. (2019). Nishide, Katsumasa ; Asano, Takao ; Arai, Takuji.
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  83. On Nonlinear Expectations and Markov Chains under Model Uncertainty. (2019). Nendel, Max.
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  84. Risk-averse optimal stopping under ambiguity and partial information. (2019). Moriarty, John ; Martyr, Randall .
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  85. Gittins theorem under uncertainty. (2019). Treetanthiploet, Tanut ; Cohen, Samuel N.
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  86. A simple approach to dual representations of systemic risk measures. (2019). Munari, Cosimo ; Koch-Medina, Pablo ; Arduca, Maria.
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  87. Risk measures and progressive enlargement of filtration: a BSDE approach. (2019). Gianin, Emanuela Rosazza ; RosazzaGianin, Emanuela ; Calvia, Alessandro.
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  88. Regulator-based risk statistics for portfolios. (2019). Sun, Fei.
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  89. A convex duality approach for pricing contingent claims under partial information and short selling constraints. (2019). Dahl, Kristina Rognlien.
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  90. Time consistency for scalar multivariate risk measures. (2019). Rudloff, Birgit ; Feinstein, Zachary.
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  91. Risk-based optimal portfolio of an insurer with regime switching and noisy memory. (2019). Mabitsela, Lesedi ; Guambe, Calisto ; Kufakunesu, Rodwell.
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  92. Scalar multivariate risk measures with a single eligible asset. (2019). Rudloff, Birgit ; Feinstein, Zachary.
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  93. Quasiconvex risk measures with markets volatility. (2019). Hu, Yijun ; Sun, Fei.
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  94. Dynamic risk measures on variable exponent Bochner--Lebesgue spaces. (2019). Hu, Yijun ; Sun, Fei.
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  95. Computational aspects of robust optimized certainty equivalents and option pricing. (2019). Tangpi, Ludovic ; Drapeau, Samuel ; Bartl, Daniel.
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  96. Model risk of contingent claims. (2018). Packham, Natalie ; Detering, Nils.
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  97. Utility‐based shortfall risk: Efficient computations via Monte Carlo. (2018). Hu, Zhaolin ; Zhang, Dali.
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  98. Law invariant risk measures and information divergences. (2018). Daniel, Lacker.
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  99. The strong Fatou property of risk measures. (2018). Foivos, Xanthos ; Niushan, Gao ; Shengzhong, Chen.
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  100. On Coherent Risk Measures Induced by Convex Risk Measures. (2018). Chen, Zhiping ; Hu, Qianhui.
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  101. Risk measures based on behavioural economics theory. (2018). Cai, Jun ; Mao, Tiantian.
    In: Finance and Stochastics.
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  102. Fatou property, representations, and extensions of law-invariant risk measures on general Orlicz spaces. (2018). Xanthos, Foivos ; Munari, Cosimo ; Leung, Denny ; Gao, Niushan.
    In: Finance and Stochastics.
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  103. Optimal Stopping Under Uncertainty in Drift and Jump Intensity. (2018). Laeven, Roger ; Ladkau, Marcel ; Kratschmer, Volker ; Stadje, Mitja ; John , .
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  104. Liquidity, Risk Measures, and Concentration of Measure. (2018). Lacker, Daniel.
    In: Mathematics of Operations Research.
    RePEc:inm:ormoor:v:43:y:2018:i:3:p:813-837.

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  105. Multivariate Shortfall Risk Allocation and Systemic Risk. (2018). Papapantoleon, Antonis ; Drapeau, Samuel ; Crepey, Stephane ; Armenti, Yannick .
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  106. Indifference Pricing in Reinsurance Using Coherent Monetary Criteria. (2018). Kazi-Tani, Nabil.
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  107. Inf-Convolution of Choquet Integrals and Applications in Optimal Risk Transfer. (2018). Kazi-Tani, Nabil.
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  108. A Risk-Based Approach for Asset Allocation with A Defaultable Share. (2018). Siu, Tak Kuen ; Shen, Yang.
    In: Risks.
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  109. The average risk sharing problem under risk measure and expected utility theory. (2018). Mao, Tiantian ; Liu, Haiyan ; Hu, Jiuyun.
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:83:y:2018:i:c:p:170-179.

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  110. Capital allocation à la Aumann–Shapley for non-differentiable risk measures. (2018). Centrone, Francesca ; Gianin, Emanuela Rosazza ; RosazzaGianin, Emanuela .
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  111. Optimal privatization portfolios in the presence of arbitrary risk aversion. (2018). Topaloglou, Nikolas ; Christodoulakis, George ; Mohamed, Abdulkadir.
    In: European Journal of Operational Research.
    RePEc:eee:ejores:v:265:y:2018:i:3:p:1172-1191.

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  112. Entropic risk measures and their comparative statics in portfolio selection: Coherence vs. convexity. (2018). Brandtner, Mario ; Rischau, Robert ; Kursten, Wolfgang.
    In: European Journal of Operational Research.
    RePEc:eee:ejores:v:264:y:2018:i:2:p:707-716.

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  113. Linear-quadratic partially observed forward–backward stochastic differential games and its application in finance. (2018). Wu, Zhen ; Zhuang, YI.
    In: Applied Mathematics and Computation.
    RePEc:eee:apmaco:v:321:y:2018:i:c:p:577-592.

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  114. Optimal expected utility risk measures. (2018). Sebastian, Geissel ; Thomas, Seifried Frank ; Jorn, Sass.
    In: Statistics & Risk Modeling.
    RePEc:bpj:strimo:v:35:y:2018:i:1-2:p:73-87:n:5.

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  115. Monetary Measures of Risk. (2018). Hamel, Andreas H.
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  116. Representation Results for Law Invariant Recursive Dynamic Deviation Measures and Risk Sharing. (2018). Stadje, Mitja.
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  117. A note on representation of BSDE-based dynamic risk measures and dynamic capital allocations. (2018). Kufakunesu, Rodwell ; Guambe, Calisto ; Mabitsela, Lesedi .
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    RePEc:arx:papers:1808.04611.

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  118. The strong Fatou property of risk measures. (2018). Xanthos, Foivos ; Gao, Niushan ; Chen, Shengzhong.
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  119. Surplus-Invariant, Law-Invariant, and Conic Acceptance Sets Must be the Sets Induced by Value-at-Risk. (2018). Peng, Xianhua ; He, Xue Dong .
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  120. Surplus-invariant risk measures. (2018). Munari, Cosimo ; Gao, Niushan.
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    RePEc:arx:papers:1707.04949.

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  121. Data and uncertainty in extreme risks - a nonlinear expectations approach. (2018). Cohen, Samuel N.
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    RePEc:arx:papers:1705.08301.

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  122. The Fatou Closedness under Model Uncertainty. (2018). Meyer-Brandis, Thilo ; Svindland, Gregor ; Maggis, Marco.
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  123. A Supermartingale Relation for Multivariate Risk Measures. (2018). Feinstein, Zachary ; Rudloff, Birgit.
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  124. DIFFERENTIABILITY OF BSVIEs AND DYNAMIC CAPITAL ALLOCATIONS. (2017). Kromer, Eduard ; Overbeck, Ludger.
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    RePEc:wsi:ijtafx:v:20:y:2017:i:07:n:s0219024917500479.

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  125. Risk- and ambiguity-averse portfolio optimization with quasiconcave utility functionals. (2017). Kallblad, Sigrid.
    In: Finance and Stochastics.
    RePEc:spr:finsto:v:21:y:2017:i:2:d:10.1007_s00780-016-0318-y.

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  126. Set-valued risk statistics with scenario analysis. (2017). Chen, Yanhong ; Hu, Yijun.
    In: Statistics & Probability Letters.
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  127. Model spaces for risk measures. (2017). Liebrich, Felix-Benedikt ; Svindland, Gregor.
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:77:y:2017:i:c:p:150-165.

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  128. Characterization of acceptance sets for co-monotone risk measures. (2017). Rieger, Marc Oliver.
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:74:y:2017:i:c:p:147-152.

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  129. Disentangling Price, Risk and Model Risk: V&R measures. (2017). Maggis, Marco ; Frittelli, Marco.
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  130. Model Spaces for Risk Measures. (2017). Liebrich, Felix-Benedikt ; Svindland, Gregor.
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  131. Fatou Property, representations, and extensions of law-invariant risk measures on general Orlicz spaces. (2017). Xanthos, Foivos ; Munari, Cosimo ; Leung, Denny H ; Gao, Niushan.
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  132. Closedness of convex sets in Orlicz spaces with applications to dual representation of risk measures. (2017). Gao, Niushan ; Xanthos, Foivos ; Leung, Denny H.
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  133. An ergodic BSDE approach to forward entropic risk measures: representation and large-maturity behavior. (2017). Chong, Wing Fung ; Zariphopoulou, Thaleia ; Liang, Gechun ; Hu, Ying.
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  134. On random convex analysis. (2017). Guo, Tiexin ; Yuan, George ; Yang, Bixuan ; Wu, Mingzhi ; Zhang, Erxin .
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  135. Equilibrium pricing under relative performance concerns. (2017). Bielagk, Jana ; Reis, Goncalo Dos ; Lionnet, Arnaud .
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  136. Multivariate Shortfall Risk Allocation and Systemic Risk. (2017). Armenti, Yannick ; Papapantoleon, Antonis ; Drapeau, Samuel ; Crepey, Stephane.
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  137. Randomized versions of Mazur lemma and Krein-Smulian theorem. (2017). Jos'e Miguel Zapata, .
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  138. A unified approach to time consistency of dynamic risk measures and dynamic performance measures in discrete time. (2017). Cialenco, Igor ; Bielecki, Tomasz R. ; Pitera, Marcin.
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  139. Prudence, risk measures and the Optimized Certainty Equivalent: a note. (2016). Pagani, Elisa ; EECKHOUDT, LOUIS ; Gianin, Emanuela Rosazza ; RosazzaGianin, Emanuela .
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  140. Regulatory arbitrage of risk measures. (2016). Wang, Ruodu.
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  141. Systemic risk measures on general measurable spaces. (2016). Zilch, K ; Overbeck, L ; Kromer, E.
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  142. Spektrale Risikomaße: Konzeption, betriebswirtschaftliche Anwendungen und Fallstricke. (2016). Brandtner, Mario.
    In: Management Review Quarterly.
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  143. A representation of risk measures. (2016). amarante, massimiliano.
    In: Decisions in Economics and Finance.
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  144. On the Measurement of Economic Tail Risk. (2016). Kou, Steven ; Peng, Xianhua .
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  145. Compositions of Conditional Risk Measures and Solvency Capital. (2016). Lebegue, Adrien ; Devolder, Pierre.
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  146. Robust optimal risk sharing and risk premia in expanding pools. (2016). Laeven, Roger ; Knispel, Thomas ; Svindland, Gregor.
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  147. Portfolio optimization with disutility-based risk measure. (2016). Fulga, Cristinca .
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  148. A functional Itô’s calculus approach to convex risk measures with jump diffusion. (2016). Siu, Tak Kuen.
    In: European Journal of Operational Research.
    RePEc:eee:ejores:v:250:y:2016:i:3:p:874-883.

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  149. Data-driven nonlinear expectations for statistical uncertainty in decisions. (2016). Cohen, Samuel N.
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  150. Robust Optimal Risk Sharing and Risk Premia in Expanding Pools. (2016). Laeven, Roger ; Knispel, Thomas ; Svindland, Gregor.
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  151. On the C-property and $w^*$-representations of risk measures. (2016). Gao, Niushan ; Xanthos, Foivos.
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  152. Law invariant risk measures and information divergences. (2016). Lacker, Daniel .
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  153. Shortfall Deviation Risk: An alternative to risk measurement. (2016). Righi, Marcelo Brutti ; Ceretta, Paulo Sergio.
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  154. Multi-portfolio time consistency for set-valued convex and coherent risk measures. (2015). Feinstein, Zachary ; Rudloff, Birgit.
    In: Finance and Stochastics.
    RePEc:spr:finsto:v:19:y:2015:i:1:p:67-107.

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  155. Risk measures for processes and BSDEs. (2015). Penner, Irina ; Reveillac, Anthony.
    In: Finance and Stochastics.
    RePEc:spr:finsto:v:19:y:2015:i:1:p:23-66.

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  156. Decision-making from a risk assessment perspective for Corporate Mergers and Acquisitions. (2015). Lee, Jinwook ; Prekopa, Andras.
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    RePEc:spr:comgts:v:12:y:2015:i:2:p:243-266.

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  157. Portfolio Optimization with Quasiconvex Risk Measures. (2015). Mastrogiacomo, Elisa ; Gianin, Emanuela Rosazza ; RosazzaGianin, Emanuela .
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  158. Dynamic Portfolio Choice When Risk Is Measured by Weighted VaR. (2015). He, Xuedong ; Yu, Xun ; Jin, Hanqing.
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  159. Equilibrium pricing under relative performance concerns. (2015). Bielagk, Jana ; Reis, Gonalo Dos ; Lionnet, Arnaud .
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  160. Time-consistency of cash-subadditive risk measures. (2015). Mastrogiacomo, Elisa ; Gianin, Emanuela Rosazza ; RosazzaGianin, Emanuela .
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  161. Liquidity, risk measures, and concentration of measure. (2015). Lacker, Daniel .
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  162. A Unified Approach to Systemic Risk Measures via Acceptance Sets. (2015). Biagini, Francesca ; Meyer-Brandis, Thilo ; Frittelli, Marco ; Fouque, Jean-Pierre.
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  163. Super-replication with nonlinear transaction costs and volatility uncertainty. (2015). Bank, Peter ; Dolinsky, Yan ; Gokay, Selim .
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  164. On the Measurement of Economic Tail Risk. (2015). Kou, Steven ; Peng, Xianhua .
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  165. Geometrical framework for robust portfolio optimization. (2014). Bazovkin, Pavel .
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  166. Beyond Value‐at‐Risk: GlueVaR Distortion Risk Measures. (2014). Santolino, Miguel ; Guilln, Montserrat ; Sampera, Jaume Bellesa.
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  167. Time-Consistent and Market-Consistent Evaluations (Revised version of 2012-086). (2014). Pelsser, Antoon ; Stadje, M A.
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  168. Time-Consistent and Market-Consistent Evaluations (Revised version of 2012-086). (2014). Stadje, Mitja ; Pelsser, Antoon.
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  169. Beyond cash-additive risk measures: when changing the numéraire fails. (2014). Farkas, Walter ; Koch-Medina, Pablo ; Munari, Cosimo.
    In: Finance and Stochastics.
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  170. A Probabilistic Model for Minmax Regret in Combinatorial Optimization. (2014). Shi, Dongjian ; Natarajan, Karthik ; Toh, Kim-Chuan.
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  171. Robust Portfolio Choice and Indifference Valuation. (2014). Laeven, Roger ; Stadje, Mitja.
    In: Mathematics of Operations Research.
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  172. Coherent and convex risk measures for portfolios with applications. (2014). Wei, Linxiao ; Hu, Yijun.
    In: Statistics & Probability Letters.
    RePEc:eee:stapro:v:90:y:2014:i:c:p:114-120.

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  173. Capital requirements with defaultable securities. (2014). Munari, Cosimo ; Farkas, Walter ; Koch-Medina, Pablo.
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:55:y:2014:i:c:p:58-67.

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  174. Complete duality for quasiconvex dynamic risk measures on modules of the Lp-type. (2014). Marco, Frittelli .
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  175. Spatial risk measures and their local specification: The locally law-invariant case. (2014). Hans, Follmer .
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  176. TIME-CONSISTENT AND MARKET-CONSISTENT EVALUATIONS. (2014). Pelsser, Antoon ; Stadje, Mitja.
    In: Mathematical Finance.
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  177. Distortion Risk Measures and Elicitability. (2014). Ziegel, Johanna F. ; Wang, Ruodu.
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  178. Continuous time portfolio choice under monotone preferences with quadratic penalty - stochastic factor case. (2014). Zawisza, Dariusz ; Trybula, Jakub .
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  179. Capital adequacy tests and limited liability of financial institutions. (2014). Munari, Cosimo ; Moreno-Bromberg, Santiago ; Koch-Medina, Pablo.
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  180. Suitability of Capital Allocations for Performance Measurement. (2014). Kromer, Eduard ; Overbeck, Ludger.
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  181. Multiportfolio time consistency for set-valued convex and coherent risk measures. (2014). Rudloff, Birgit ; Feinstein, Zachary.
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  182. Beyond cash-additive risk measures: when changing the num\{e}raire fails. (2014). Munari, Cosimo-Andrea ; Farkas, Walter ; Koch-Medina, Pablo.
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  183. Capital requirements with defaultable securities. (2014). Munari, Cosimo-Andrea ; Farkas, Walter ; Koch-Medina, Pablo.
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  184. Are law-invariant risk functions concave on distributions?. (2013). Beatrice, Acciaio ; Gregor, Svindland .
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  185. Membership conditions for consistent families of monetary valuations. (2013). Schumacher, Johannes ; Roorda, B..
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  186. Optimal portfolio selection via conditional convex risk measures on L p. (2013). Acciaio, Beatrice ; Goldammer, Verena .
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  187. “Beyond Value-at-Risk: GlueVaR Distortion Risk Measures”. (2013). Guillen, Montserrat ; Belles-Sampera, Jaume ; Santolino, Miguel.
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  188. External Risk Measures and Basel Accords. (2013). Heyde, Chris C ; Peng, Xianhua ; Kou, Steven.
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  189. Entropy Coherent and Entropy Convex Measures of Risk. (2013). Laeven, Roger ; Stadje, Mitja.
    In: Mathematics of Operations Research.
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  190. Risk Preferences and Their Robust Representation. (2013). Drapeau, Samuel ; Kupper, Michael.
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  191. Risk measures for processes and BSDEs. (2013). Reveillac, Anthony ; Penner, Irina.
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  192. Coherent risk measures in general economic models and price bubbles. (2013). Kountzakis, C. ; Polyrakis, I. A..
    In: Journal of Mathematical Economics.
    RePEc:eee:mateco:v:49:y:2013:i:3:p:201-209.

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  193. Indifference pricing with uncertainty averse preferences. (2013). Giammarino, Flavia ; Barrieu, Pauline .
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  194. Membership conditions for consistent families of monetary valuations. (2013). Schumacher, Johannes ; Berend, Roorda ; Hans, Schumacher .
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    Paper not yet in RePEc: Add citation now
  15. Heath, D., 2000. Back to the future. Plenary lecture at the First World Congress of the Bachelier Society, Paris, June 2000
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  16. Landsman, Z. ; Sherris, M. Risk measures and insurance premium principles. 2001 Insurance: Mathematics and Economics. 29 103-115

  17. Rockafellar, R.T., 1974. Conjugate duality and optimization. Regional Conference Series in Applied Mathematics, 16, SIAM, Philadelphia
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  18. Schmeidler, D. Cores of exact games I. 1972 Journal of Mathematical Analysis and Applications. 40 214-225
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  19. Wang, S.S. ; Young, V.R. ; Panjer, H.H. Axiomatic characterization of insurance prices. 1997 Insurance: Mathematics and Economics. 21 173-183

  20. Wang, T., 1999. A Class of Dynamic Risk Measures. Working Paper, University of British Columbia
    Paper not yet in RePEc: Add citation now

Cocites

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  2. Minimum capital requirement and portfolio allocation for non-life insurance: a semiparametric model with Conditional Value-at-Risk (CVaR) constraint. (2023). Leccadito, Arturo ; Costabile, Massimo ; Russo, Emilio ; Staino, Alessandro.
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  3. Quantifying Systemic Risk in the Presence of Unlisted Banks: Application to the European Banking Sector. (2023). van Wijnbergen, Sweder ; Dimitrov, Daniel.
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  8. Quantifying Systemic Risk in the Presence of Unlisted Banks: Application to the Dutch Financial Sector. (2022). van Wijnbergen, Sweder ; Dimitrov, Daniel.
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  9. On the Kavya–Manoharan–Burr X Model: Estimations under Ranked Set Sampling and Applications. (2022). Elgarhy, Mohammed ; Al-Nefaie, Abdullah H ; Elbatal, Ibrahim ; Mahmoud, Osama H.
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  11. Evaluation of multi-asset investment strategies with digital assets. (2021). Sprunken, Erin ; Petukhina, Alla.
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  12. Contracts in electricity markets under EU ETS: A stochastic programming approach. (2021). Ruiz, Carlos ; Riccardi, Rossana ; Abate, Arega Getaneh.
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  13. Contracts in Electricity Markets under EU ETS: A Stochastic Programming Approach. (2021). Abate, Arega ; Ruiz, Carlos ; Riccardi, Rossana.
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  16. On Coherent Risk Measures Induced by Convex Risk Measures. (2018). Chen, Zhiping ; Hu, Qianhui.
    In: Methodology and Computing in Applied Probability.
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  17. On generalized log-Moyal distribution: A new heavy tailed size distribution. (2018). Bhati, Deepesh ; Ravi, Sreenivasan.
    In: Insurance: Mathematics and Economics.
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  18. Valuation of longevity-linked life annuities. (2018). Bravo, Jorge ; el Mekkaoui, Najat.
    In: Insurance: Mathematics and Economics.
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  20. AN INCLUSIVE CRITERION FOR AN OPTIMAL CHOICE OF REINSURANCE. (2017). Attar, EL ; el Abidine, Guennoun Zine ; Hachloufi, EL.
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  21. Risk-averse stochastic path detection. (2017). Collado, Ricardo ; Priekule, Laura ; Meisel, Stephan .
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  22. Performance ratio-based coherent risk measure and its application. (2016). Chen, Zhiping ; Lin, Ruiyue ; Hu, Qianhui .
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  23. Credible risk measures with applications in actuarial sciences and finance. (2016). Pitselis, Georgios .
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  24. Multivariate tail conditional expectation for elliptical distributions. (2016). Makov, Udi ; Landsman, Zinoviy ; Shushi, Tomer.
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  25. La prima de riesgo recargada en un seguro de rentas: tarificación mediante el uso de una medida de riesgo coherente || The Risk Recharged Premium for a Survival Life Insurance: Recharged Premium thro. (2013). Colomer, Cristina Lozano ; Vilar Zanon, Jose Luis, ; Solis, Montserrat Hernandez .
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  26. Multivariate distribution defined with Farlie–Gumbel–Morgenstern copula and mixed Erlang marginals: Aggregation and capital allocation. (2013). Marceau, Etienne ; Cote, Marie-Pier ; Moutanabbir, Khouzeima ; Cossette, Helene.
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  27. El cálculo de la prima única de riesgo mediante la medida de riesgo transformada proporcional del tanto instantáneo. (2013). Colomer, Cristina Lozano ; Hernandez-Solis, Monserrat ; Jose Luis Vilar Zanon., .
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  28. The value of Value-at-Risk: A theoretical approach to the pricing and performance of risk measurement systems. (2012). Wiener, Zvi.
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  29. Jackknife empirical likelihood method for some risk measures and related quantities. (2012). Yang, Jingping ; Qi, Yongcheng ; Wang, Ruodu ; Peng, Liang.
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  30. Adaptive multiplayer approach for risk?based decision?making: 2006 Virginia Gubernatorial Inauguration. (2011). Haimes, Yacov Y ; Barker, Kash ; Agrawal, Abhinav B.
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  31. Asymptotic distribution of law-invariant risk functionals. (2010). Wozabal, Nancy ; Pflug, Georg.
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  33. Granger causality in risk and detection of extreme risk spillover between financial markets. (2009). Hong, Yongmiao ; Wang, Shouyang ; Liu, Yanhui.
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  34. Risk measures, distortion parameters, and their empirical estimation. (2007). Jones, Bruce L. ; Zitikis, Ricardas .
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  35. Testing hypotheses about the equality of several risk measure values with applications in insurance. (2006). Jones, Bruce L. ; Zitikis, Ricardas ; Puri, Madan L..
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  36. On distortion functionals. (2006). Pflug Georg Ch., .
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  37. Testing for the order of risk measures: an application of L-statistics in actuarial science. (2005). Jones, Bruce L. ; Zitikis, Ricardas .
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  38. An optimization approach to the dynamic allocation of economic capital. (2004). Laeven, Roger ; Goovaerts, Marc ; Laeven, Roger J. A., .
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  39. Convex Imprecise Previsions for Risk Measurement. (2003). Pelessoni, Renato ; Vicig, Paolo.
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  40. Risk measures. (2003). Albrecht, Peter .
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  41. Risk Management: An Interdisciplinary Framework. (2003). Tapiero, Charles.
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  42. Coherent Risk Measures and Upper Previsions. (2002). Pelessoni, Renato ; Vicig, Paolo.
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  43. Model Risk and Regulatory Capital. (2002). Schumacher, Johannes ; Melenberg, B ; Kerkhof, F. L. J., .
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  44. Model Risk and Regulatory Capital. (2002). Schumacher, Johannes ; Melenberg, Bertrand ; Kerkhof, F. L. J., .
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  45. Putting order in risk measures. (2002). RosazzaGianin, Emanuela ; Frittelli, Marco.
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  46. Optimal investment strategies and risk measures in defined contribution pension schemes. (2002). Vigna, Elena ; Haberman, Steven.
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  47. A class of non-expected utility risk measures and implications for asset allocations. (2001). Sherris, Michael ; van der Hoek, John, .
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  48. A synthesis of risk measures for capital adequacy. (1999). Wirch, Julia Lynn ; Hardy, Mary R..
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    RePEc:eee:insuma:v:25:y:1999:i:3:p:337-347.

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