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Risk capital allocation by coherent risk measures based on one-sided moments
9 references·16 citing·38 second hop
Risk capital allocation by coherent risk measures based on one-sided moments (2003)Risk capital allocation by coherent risk …Nonparametric Estimation and Sensitivity Analysis of Expected Shortfall (2003)Nonparametric Estimation and …Economic capital allocation derived from risk measures (2002)Economic capital allocation d…Coherent Risk Measures on General Probability Spaces (2002)Coherent Risk Measures on Gen…Coherent allocation of risk capital (2001)Coherent allocation of risk c…Sensitivity analysis of Values at Risk (2000)Sensitivity analysis of Value…Risk contributions and performance measurement (2000)Risk contributions and perfor…Coherent risk measures (2000)Coherent risk measuresCoherent Measures of Risk (1999)Coherent Measures of RiskMathematical methods of game and economic theory (1979)Mathematical methods of game …A DYNAMIC MODEL OF CENTRAL COUNTERPARTY RISK (2018)A DYNAMIC MODEL OF CENTRAL CO…A composition between risk and deviation measures (2018)A composition between risk an…Insurance with multiple insurers: A game-theoretic approach (2017)Insurance with multiple insur…A simulation comparison of risk measures for portfolio optimization (2017)A simulation comparison of ri…MULTIDIMENSIONAL DYNAMIC RISK MEASURE VIA CONDITIONAL g ‐EXPECTATION (2014)MULTIDIMENSIONAL DYNAMIC RISK…Particle Swarm Optimization with non-smooth penalty reformulation, for a complex portfolio selection problem (2013)Particle Swarm Optimization w…Risk optimization with p-order conic constraints: A linear programming approach (2009)Risk optimization with p-orde…Two-sided coherent risk measures and their application in realistic portfolio optimization (2008)Two-sided coherent risk measu…Spectral risk measures and portfolio selection (2008)Spectral risk measures and po…Pricing with Coherent Risk (2008)Pricing with Coherent RiskOn Haezendonck risk measures (2007)On Haezendonck risk measuresHigher moment coherent risk measures (2007)Higher moment coherent risk m…Coherent risk measures, coherent capital allocations and the gradient allocation principle (2007)Coherent risk measures, coher…Capital Allocation to Business Units and Sub-Portfolios: the Euler Principle (2007)Capital Allocation to Busines…Capital Allocation for Insurance Companies — What Good IS IT ? (2007)Capital Allocation for Insura…Progress in Risk Measurement 1 (2004)Progress in Risk Measurement 1A value for n -person games (1988)A Course in Game Theory (1994)Expected shortfall and beyond (2002)AN AXIOMATIC APPROACH TO CAPITAL ALLOCATION (2005)Measuring the systemic importance of interconnected banks (2013)Cores of convex games (1971)Modelling Extremal Events (1997)Putting order in risk measures (2002)Generalized deviations in risk analysis (2005)PORTFOLIO SELECTION* (1952)Nonparametric estimation of copulas for time series (2003)Shortfall as a risk measure: properties, optimization and applications (2003)A comprehensive review of Value at Risk methodologies (2013)On law invariant coherent risk measures (2001)Ambiguous chance constrained problems and robust optimization (2005)Inf-convolution of risk measures and optimal risk transfer (2005)Law invariant risk measures have the Fatou property (2007)Portfolio Selection (1952)Safety First and the Holding of Assets (1952)Actuarial Theory for Dependent Risks: Measures, Orders and Models (2005)Capital market equilibrium in a mean-lower partial moment framework (1977)Correlation and Dependence in Risk Management: Properties and Pitfalls (2002)Weighted risk capital allocations (2008)External Risk Measures and Basel Accords (2013)What is the best risk measure in practice? A comparison of standard measures (2015)Prospect Theory: An Analysis of Decision under Risk (1979)Prospect theory: An analysis of decision under risk (1988)On Exactitude in Financial Regulation: Value-at-Risk, Expected Shortfall, and Expectiles (2018)Diversification and portfolio theory: a review (2020)Increasing risk II: Its economic consequences (1971)Insurance: Mathematics and Economics (2004)After VaR: The Theory, Estimation, and Insurance Applications of Quantile‐Based Risk Measures (2006)Weighted premium calculation principles (2007)Cooperative Fuzzy Games (1981)Intertemporal asset pricing under knightian uncertainty (2004)Conditional value-at-risk for general loss distributions (2002)Modeling and Forecasting Realized Volatility (2003)Theory and Applications of Robust Optimization (2010)
this work references cited by second hop

References

  • 1999Coherent Measures of Risk8,849 cited
  • 2002Coherent Risk Measures on General Probability Spaces753 cited
  • 1979Mathematical methods of game and economic theory681 cited
  • 2001Coherent allocation of risk capital422 cited
  • 2000Sensitivity analysis of Values at Risk400 cited
  • 2000Coherent risk measures308 cited
  • 2003Nonparametric Estimation and Sensitivity Analysis of Expected Shortfall274 cited
  • 2000Risk contributions and performance measurement260 cited
  • 2002Economic capital allocation derived from risk measures198 cited

Cited by

  • 2008Spectral risk measures and portfolio selection134 cited
  • 2007Higher moment coherent risk measures132 cited
  • 2007Capital Allocation to Business Units and Sub-Portfolios: the Euler Principle109 cited
  • 2017Insurance with multiple insurers: A game-theoretic approach90 cited
  • 2007Coherent risk measures, coherent capital allocations and the gradient allocation principle78 cited
  • 2008Two-sided coherent risk measures and their application in realistic portfolio optimization77 cited
  • 2007

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Capital Allocation for Insurance Companies — What Good IS IT ?
70 cited
  • 2013Particle Swarm Optimization with non-smooth penalty reformulation, for a complex portfolio selection problem62 cited
  • 2007On Haezendonck risk measures58 cited
  • 2017A simulation comparison of risk measures for portfolio optimization55 cited
  • 2008Pricing with Coherent Risk50 cited
  • 2018A composition between risk and deviation measures38 cited
  • 2009Risk optimization with p-order conic constraints: A linear programming approach34 cited
  • 2004Progress in Risk Measurement 134 cited
  • 2018A DYNAMIC MODEL OF CENTRAL COUNTERPARTY RISK25 cited
  • 2014MULTIDIMENSIONAL DYNAMIC RISK MEASURE VIA CONDITIONAL g ‐EXPECTATION24 cited