SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
The natural Banach space for version independent risk measures
16 references·2 citing·36 second hop
The natural Banach space for version independent risk measures (2013)The natural Banach space for version inde…THE CANONICAL MODEL SPACE FOR LAW‐INVARIANT CONVEX RISK MEASURES IS L1 (2012)THE CANONICAL MODEL SPACE FOR…RISK MEASURES ON ORLICZ HEARTS (2009)RISK MEASURES ON ORLICZ HEARTSLectures on Stochastic Programming (2009)Lectures on Stochastic Progra…Modeling, Measuring and Managing Risk (2007)Modeling, Measuring and Manag…Law invariant risk measures have the Fatou property (2007)Law invariant risk measures h…Actuarial Theory for Dependent Risks: Measures, Orders, and Models (2007)Actuarial Theory for Dependen…Weighted V@R and its Properties (2006)Weighted V@R and its Properti…Optimization of Convex Risk Functions (2006)Optimization of Convex Risk F…Actuarial Theory for Dependent Risks: Measures, Orders and Models (2005)Actuarial Theory for Dependen…Stochastic finance. an introduction in discrete time (2004)Stochastic finance. an introd…Stochastic Finance: An Introduction in Discrete Time (2002)Stochastic Finance: An Introd…Spectral measures of risk: A coherent representation of subjective risk aversion (2002)Spectral measures of risk: A …On law invariant coherent risk measures (2001)On law invariant coherent ris…Infinite Dimensional Analysis (1999)Infinite Dimensional AnalysisCoherent Measures of Risk (1999)Coherent Measures of RiskAxiomatic characterization of insurance prices (1997)Axiomatic characterization of…DISTORTION RISKMETRICS ON GENERAL SPACES (2020)DISTORTION RISKMETRICS ON GEN…Time-inconsistent multistage stochastic programs: Martingale bounds (2015)Time-inconsistent multistage …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)Essays in the Theory of Risk-Bearing. (1972)The Pricing of Options and Corporate Liabilities (1973)An Introduction to Copulas (1999)After VaR: The Theory, Estimation, and Insurance Applications of Quantile‐Based Risk Measures (2006)Copulas: A Personal View (2009)The Advent of Copulas in Finance (2009)Optimization of conditional value-at-risk (2000)Conditional value-at-risk for general loss distributions (2002)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)Methods of Measuring the Concentration of Wealth (1905)Analysis of stochastic dual dynamic programming method (2010)A unified framework for stochastic optimization (2018)Climate Risk and Financial Stability in the Network of Banks and Investment Funds (2019)Generalized deviations in risk analysis (2005)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)Modeling and optimization of risk (2010)Conditional value-at-risk in portfolio optimization: Coherent but fragile (2011)Measures of Systemic Risk (2017)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)A Sampling-and-Discarding Approach to Chance-Constrained Optimization: Feasibility and Optimality (2010)A Guide to Sample Average Approximation (2014)Data-driven chance constrained stochastic program (2015)
this work references cited by second hop

References

  • 1999Coherent Measures of Risk8,849 cited
  • 2009Lectures on Stochastic Programming1,419 cited
  • 2002Stochastic Finance: An Introduction in Discrete Time1,190 cited
  • 1999Infinite Dimensional Analysis1,120 cited
  • 2002Spectral measures of risk: A coherent representation of subjective risk aversion946 cited
  • 2001On law invariant coherent risk measures676 cited
  • 1997Axiomatic characterization of insurance prices535 cited
  • 2005Actuarial Theory for Dependent Risks: Measures, Orders and Models498 cited
  • 2006Optimization of Convex Risk Functions474 cited
  • 2004Stochastic finance. an introduction in discrete time351 cited
  • 2007Modeling, Measuring and Managing Risk326 cited
  • 2007Law invariant risk measures have the Fatou property292 cited
  • 2009RISK MEASURES ON ORLICZ HEARTS214 cited
  • 2007Actuarial Theory for Dependent Risks: Measures, Orders, and Models124 cited
  • 2006Weighted V@R and its Properties117 cited
  • 2012THE CANONICAL MODEL SPACE FOR LAW‐INVARIANT CONVEX RISK MEASURES IS L185 cited

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

Cited by

  • 2020DISTORTION RISKMETRICS ON GENERAL SPACES50 cited
  • 2015Time-inconsistent multistage stochastic programs: Martingale bounds45 cited