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Monotone and cash-invariant convex functions and hulls
16 references·2 citing·32 second hop
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this work references cited by second hop

References

  • 1999Coherent Measures of Risk8,849 cited
  • 2002Conditional value-at-risk for general loss distributions3,847 cited
  • 2002Convex measures of risk and trading constraints1,452 cited
  • 2002Stochastic Finance: An Introduction in Discrete Time1,190 cited
  • 1999Infinite Dimensional Analysis1,120 cited
  • 2002Putting order in risk measures684 cited
  • 2008Modern Actuarial Risk Theory661 cited
  • 2009PORTFOLIO SELECTION WITH MONOTONE MEAN‐VARIANCE PREFERENCES426 cited
  • 2000Coherent risk measures308 cited
  • 2005Inf-convolution of risk measures and optimal risk transfer295 cited
  • 2002Modern Actuarial Risk Theory282 cited
  • 2002Stochastic Finance251 cited
  • 2008OPTIMAL RISK SHARING FOR LAW INVARIANT MONETARY UTILITY FUNCTIONS232 cited
  • 1985On convex principles of premium calculation191 cited
  • 1984The General Economic Premium Principle173 cited
  • 1997Optional decomposition and Lagrange multipliers149 cited

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2012
Haezendonck–Goovaerts risk measures and Orlicz quantiles
48 cited
  • 2018A composition between risk and deviation measures38 cited