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Conditional value‐at‐risk bounds for compound Poisson risks and anormal approximation
16 references·1 citing·32 second hop
Conditional value‐at‐risk bounds for compound Poisson risks and anormal approximation (2003)Conditional value‐at‐risk bounds for comp…Shortfall as a risk measure: properties, optimization and applications (2003)Shortfall as a risk measure: …Spectral measures of risk: A coherent representation of subjective risk aversion (2002)Spectral measures of risk: A …On the Validity of Value-at-Risk: Comparative Analyses with Expected Shortfall (2002)On the Validity of Value-at-R…On the coherence of expected shortfall (2002)On the coherence of expected …Expected Shortfall: A Natural Coherent Alternative to Value at Risk (2002)Expected Shortfall: A Natural…Conditional value-at-risk for general loss distributions (2002)Conditional value-at-risk for…Comparative Analyses of Expected Shortfall and Value-at-Risk: Their Estimation Error, Decomposition, and Optimization (2002)Comparative Analyses of Expec…On law invariant coherent risk measures (2001)On law invariant coherent ris…Expected Shortfall as a Tool for Financial Risk Management (2001)Expected Shortfall as a Tool …Optimization of conditional value-at-risk (2000)Optimization of conditional v…Coherent Measures of Risk (1999)Coherent Measures of RiskA synthesis of risk measures for capital adequacy (1999)A synthesis of risk measures …Axiomatic characterization of insurance prices (1997)Axiomatic characterization of…Premium Calculation by Transforming the Layer Premium Density (1996)Premium Calculation by Transf…Premium Calculation: Why Standard Deviation Should be Replaced by Absolute Deviation (1990)Premium Calculation: Why Stan…Recursive Evaluation of a Family of Compound Distributions (1981)Recursive Evaluation of a Fam…Economic Capital Allocations for Non-negative Portfolios of Dependent Risks (2008)Economic Capital Allocations …Coherent Risk Measures on General Probability Spaces (2002)Expected shortfall and beyond (2002)Higher order elicitability and Osband’s principle (2016)Frameworks and Results in Distributionally Robust Optimization (2022)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)Subjective probability and expected utility without additivity (2004)Theory of games and economic behavior (2019)Some Remarks on the Value-at-Risk and the Conditional Value-at-Risk (2000)Quantile cointegrating regression (2008)Machine Learning and Portfolio Optimization (2016)The Role of Bitcoin in Well Diversified Portfolios: A Comparative Global Study (2018)Le Comportement de l'Homme Rationnel devant le Risque: Critique des Postulats et Axiomes de l'Ecole Americaine (1953)A theory of anticipated utility (1982)The Dual Theory of Choice under Risk (1987)Stochastic Processes for Insurance and Finance (1999)A Class of Distortion Operators for Pricing Financial and Insurance Risks (2000)PORTFOLIO SELECTION* (1952)Making and Evaluating Point Forecasts (2011)Distributionally Robust Optimization Under Moment Uncertainty with Application to Data-Driven Problems (2010)Data-Driven Distributionally Robust Optimization Using the Wasserstein Metric: Performance Guarantees and Tractable Reformulations (2015)Modeling and Forecasting Realized Volatility (2003)Theory and Applications of Robust Optimization (2010)Actuarial Theory for Dependent Risks: Measures, Orders and Models (2005)Generalized deviations in risk analysis (2005)Lectures on Stochastic Programming: Modeling and Theory (2009)Quantitative Risk Management (2011)Further Results on Recursive Evaluation of Compound Distributions (1981)Common Poisson Shock Models: Applications to Insurance and Credit Risk Modelling (2003)Insurance Risk and Ruin (2005)
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References

  • 1999Coherent Measures of Risk8,849 cited
  • 2000Optimization of conditional value-at-risk6,711 cited
  • 2002Conditional value-at-risk for general loss distributions3,847 cited
  • 2002On the coherence of expected shortfall1,596 cited
  • 2002Spectral measures of risk: A coherent representation of subjective risk aversion946 cited
  • 1996Premium Calculation by Transforming the Layer Premium Density696 cited
  • 2001On law invariant coherent risk measures676 cited
  • 2002Expected Shortfall: A Natural Coherent Alternative to Value at Risk573 cited
  • 1981Recursive Evaluation of a Family of Compound Distributions571 cited
  • 1997Axiomatic characterization of insurance prices535 cited
  • 2003Shortfall as a risk measure: properties, optimization and applications269 cited
  • 1999A synthesis of risk measures for capital adequacy181 cited
  • 2001Expected Shortfall as a Tool for Financial Risk Management162 cited
  • 1990Premium Calculation: Why Standard Deviation Should be Replaced by Absolute Deviation147 cited
  • 2002Comparative Analyses of Expected Shortfall and Value-at-Risk: Their Estimation Error, Decomposition, and Optimization137 cited

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  • 2002On the Validity of Value-at-Risk: Comparative Analyses with Expected Shortfall130 cited
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    • 2008Economic Capital Allocations for Non-negative Portfolios of Dependent Risks42 cited