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Optimal capital and risk allocations for law- and cash-invariant convex functions
11 references·9 citing·32 second hop
Optimal capital and risk allocations for law- and cash-invariant convex functions (2008)Optimal capital and risk allocations for …RISK MEASURES ON ORLICZ HEARTS (2009)RISK MEASURES ON ORLICZ HEARTSOPTIMAL RISK SHARING FOR LAW INVARIANT MONETARY UTILITY FUNCTIONS (2008)OPTIMAL RISK SHARING FOR LAW …Law invariant risk measures have the Fatou property (2007)Law invariant risk measures h…Law invariant convex risk measures (2006)Law invariant convex risk mea…Inf-convolution of risk measures and optimal risk transfer (2005)Inf-convolution of risk measu…Stochastic Finance (2004)Stochastic FinanceStochastic Finance: An Introduction in Discrete Time (2002)Stochastic Finance: An Introd…Coherent Risk Measures on General Probability Spaces (2002)Coherent Risk Measures on Gen…Infinite Dimensional Analysis (1999)Infinite Dimensional AnalysisCoherent Measures of Risk (1999)Coherent Measures of RiskCo-monotone allocations, Bickel-Lehmann dispersion and the Arrow-Pratt measure of risk aversion (1994)Co-monotone allocations, Bick…Risk‐sharing rules and their properties, with applications to peer‐to‐peer insurance (2022)Risk‐sharing rules and their …Risk Aversion in Regulatory Capital Principles (2020)Risk Aversion in Regulatory C…Characterization, Robustness and Aggregation of Signed Choquet Integrals (2018)Characterization, Robustness …Insurance with multiple insurers: A game-theoretic approach (2017)Insurance with multiple insur…Pareto-Optimal Reinsurance Arrangements Under General Model Settings (2016)Pareto-Optimal Reinsurance Ar…Risk Trading and Endogenous Probabilities in Investment Equilibria (2015)Risk Trading and Endogenous P…Approaches to Conditional Risk (2012)Approaches to Conditional RiskContinuity properties of law-invariant (quasi-)convex risk functions on L ∞ (2010)Continuity properties of law-…EQUILIBRIUM PRICES FOR MONETARY UTILITY FUNCTIONS (2008)EQUILIBRIUM PRICES FOR MONETA…Cores of convex games (1971)Modelling Extremal Events (1997)On law invariant coherent risk measures (2001)Putting order in risk measures (2002)Generalized deviations in risk analysis (2005)Convex measures of risk and trading constraints (2002)An example of indifference prices under exponential preferences (2004)Dynamic exponential utility indifference valuation (2005)Optimization of conditional value-at-risk (2000)Conditional value-at-risk for general loss distributions (2002)Modeling and optimization of risk (2010)Comparative and qualitative robustness for law-invariant risk measures (2014)Quantile-Based Risk Sharing (2018)Risk Aversion in the Small and in the Large (1964)On the measurement of inequality (1970)Risk Aversion in the Small and in the Large (1976)Optimal risk-sharing rules and equilibria with Choquet-expected-utility (2000)The Newsvendor Game Has a Nonempty Core (2002)In Search of Homo Economicus: Behavioral Experiments in 15 Small-Scale Societies (2001)DYNAMIC INDIFFERENCE VALUATION VIA CONVEX RISK MEASURES (2007)Risk minimizing portfolios and HJBI equations for stochastic differential games (2008)Utility maximization in incomplete markets (2005)Nonlinear Expectations and Stochastic Calculus under Uncertainty (2019)Modeling and Forecasting Realized Volatility (2003)Theory and Applications of Robust Optimization (2010)What is the best risk measure in practice? A comparison of standard measures (2015)Sovereign default and debt renegotiation (2009)Homo Moralis--Preference Evolution Under Incomplete Information and Assortative Matching (2013)Quantifying Distributional Model Risk via Optimal Transport (2019)Coherent multiperiod risk adjusted values and Bellman’s principle (2006)AN OLD‐NEW CONCEPT OF CONVEX RISK MEASURES: THE OPTIMIZED CERTAINTY EQUIVALENT (2007)Robustness and sensitivity analysis of risk measurement procedures (2010)
this work references cited by second hop

References

  • 1999Coherent Measures of Risk8,849 cited
  • 2002Stochastic Finance: An Introduction in Discrete Time1,190 cited
  • 1999Infinite Dimensional Analysis1,120 cited
  • 2002Coherent Risk Measures on General Probability Spaces753 cited
  • 2004Stochastic Finance701 cited
  • 2005Inf-convolution of risk measures and optimal risk transfer295 cited
  • 2007Law invariant risk measures have the Fatou property292 cited
  • 2008OPTIMAL RISK SHARING FOR LAW INVARIANT MONETARY UTILITY FUNCTIONS232 cited
  • 2009RISK MEASURES ON ORLICZ HEARTS214 cited
  • 1994Co-monotone allocations, Bickel-Lehmann dispersion and the Arrow-Pratt measure of risk aversion161 cited
  • 2006Law invariant convex risk measures145 cited

Cited by

  • 2017Insurance with multiple insurers: A game-theoretic approach90 cited
  • 2018Characterization, Robustness and Aggregation of Signed Choquet Integrals75 cited
  • 2016Pareto-Optimal Reinsurance Arrangements Under General Model Settings66 cited
  • 2010Continuity properties of law-invariant (quasi-)convex risk functions on L ∞63 cited
  • 2015

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Risk Trading and Endogenous Probabilities in Investment Equilibria
63 cited
  • 2022Risk‐sharing rules and their properties, with applications to peer‐to‐peer insurance63 cited
  • 2008EQUILIBRIUM PRICES FOR MONETARY UTILITY FUNCTIONS61 cited
  • 2012Approaches to Conditional Risk59 cited
  • 2020Risk Aversion in Regulatory Capital Principles44 cited