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Risk, Entropy, and the Transformation of Distributions
16 references·0 citing·38 second hop
Risk, Entropy, and the Transformation of Distributions (2021)Risk, Entropy, and the Transformation of …Price-Level versus Inflation Targeting in a Small Open Economy (2021)Price-Level versus Inflation …Does Micro Evidence Support the Wage Phillips Curve in Canada? (2021)Does Micro Evidence Support t…THE EFFECTS OF BANK CONSOLIDATION ON RISK CAPITAL ALLOCATION AND MARKET LIQUIDITY (2006)THE EFFECTS OF BANK CONSOLIDA…Subjective probability and expected utility without additivity (2004)Subjective probability and ex…A Class of Distortion Operators for Pricing Financial and Insurance Risks (2000)A Class of Distortion Operato…Coherent Measures of Risk (1999)Coherent Measures of RiskA synthesis of risk measures for capital adequacy (1999)A synthesis of risk measures …Risk-adjusted credibility premiums using distorted probabilities (1998)Risk-adjusted credibility pre…On a class of premium principles including the Esscher principle (1998)On a class of premium princip…Comonotonicity, correlation order and premium principles (1998)Comonotonicity, correlation o…Arbitrage Theory in Continuous Time (1998)Arbitrage Theory in Continuou…Axiomatic characterization of insurance prices (1997)Axiomatic characterization of…Premium Calculation by Transforming the Layer Premium Density (1996)Premium Calculation by Transf…CHOQUET PRICING FOR FINANCIAL MARKETS WITH FRICTIONS1 (1996)CHOQUET PRICING FOR FINANCIAL…Insurance pricing and increased limits ratemaking by proportional hazards transforms (1995)Insurance pricing and increas…Modelling of extremal events in insurance and finance (1994)Modelling of extremal events …The Pricing of Options and Corporate Liabilities (1973)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)A Theory of the Term Structure of Interest Rates (1985)On modelling and pricing weather derivatives (2002)A numerical scheme for BSDEs (2004)Pricing in Electricity Markets: A Mean Reverting Jump Diffusion Model with Seasonality (2005)Extreme Values, Regular Variation and Point Processes (1987)Conditional value-at-risk for general loss distributions (2002)Correlation and Dependence in Risk Management: Properties and Pitfalls (2002)Top Incomes in the Long Run of History (2011)An Intertemporal Capital Asset Pricing Model (1973)The valuation of options for alternative stochastic processes (1976)Pricing Death: Frameworks for the Valuation and Securitization of Mortality Risk (2006)Constructing Uncertainty Sets for Robust Linear Optimization (2009)Utility Theory for Decision Making (1971)A theory of anticipated utility (1982)The Dual Theory of Choice under Risk (1987)RATIONAL CHOICE AND THE FRAMING OF DECISIONS (1988)Advances in prospect theory: Cumulative representation of uncertainty (1992)Psychology and Economics (1997)Theory of Games and Economic Behavior (1945)A solution approach to valuation with unhedgeable risks (2001)Measures of risk (2002)Dynamic coherent risk measures (2004)Theory of games and economic behavior (2019)Le Comportement de l'Homme Rationnel devant le Risque: Critique des Postulats et Axiomes de l'Ecole Americaine (1953)Stochastic Processes for Insurance and Finance (1999)Modeling and Forecasting Realized Volatility (2003)Theory and Applications of Robust Optimization (2010)Insurance Risk and Ruin (2005)Risk measures and comonotonicity (2006)New Measures for Performance Evaluation (2008)MEASUREMENT OF RISK, SOLVENCY REQUIREMENTS AND ALLOCATION OF CAPITAL WITHIN FINANCIAL CONGLOMERATES (2002)After VaR: The Theory, Estimation, and Insurance Applications of Quantile‐Based Risk Measures (2006)Optimal Reinsurance Arrangements Under Tail Risk Measures (2009)The safest dependence structure among risks (1999)Common Poisson Shock Models: Applications to Insurance and Credit Risk Modelling (2003)Beyond Value‐at‐Risk: GlueVaR Distortion Risk Measures (2013)
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References

  • 1999Coherent Measures of Risk8,849 cited
  • 1994Modelling of extremal events in insurance and finance3,519 cited
  • 2004Subjective probability and expected utility without additivity2,510 cited
  • 1998Arbitrage Theory in Continuous Time1,267 cited
  • 1996Premium Calculation by Transforming the Layer Premium Density696 cited
  • 2000A Class of Distortion Operators for Pricing Financial and Insurance Risks650 cited
  • 1997Axiomatic characterization of insurance prices535 cited
  • 1995Insurance pricing and increased limits ratemaking by proportional hazards transforms338 cited
  • 1999A synthesis of risk measures for capital adequacy181 cited
  • 1998Comonotonicity, correlation order and premium principles153 cited
  • 1996CHOQUET PRICING FOR FINANCIAL MARKETS WITH FRICTIONS1100 cited
  • 1998Risk-adjusted credibility premiums using distorted probabilities43 cited
  • 1998On a class of premium principles including the Esscher principle43 cited
  • 2006THE EFFECTS OF BANK CONSOLIDATION ON RISK CAPITAL ALLOCATION AND MARKET LIQUIDITY29 cited
  • 2021Does Micro Evidence Support the Wage Phillips Curve in Canada?18 cited

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Price-Level versus Inflation Targeting in a Small Open Economy
16 cited

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