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A Unified Approach to Generate Risk Measures
16 references·6 citing·32 second hop
A Unified Approach to Generate Risk Measures (2003)A Unified Approach to Generate Risk Measu…Theory of games and economic behavior (2019)Theory of games and economic …Modern Actuarial Risk Theory (2008)Modern Actuarial Risk TheoryThe concept of comonotonicity in actuarial science and finance: theory (2002)The concept of comonotonicity…The concept of comonotonicity in actuarial science and finance: applications (2002)The concept of comonotonicity…Modern Actuarial Risk Theory (2002)Modern Actuarial Risk TheoryEconomic capital allocation derived from risk measures (2002)Economic capital allocation d…Correlation and Dependence in Risk Management: Properties and Pitfalls (2002)Correlation and Dependence in…Coherent Measures of Risk (1999)Coherent Measures of RiskApplication of Coherent Risk Measures to Capital Requirements in Insurance (1999)Application of Coherent Risk …Premium Calculation by Transforming the Layer Premium Density (1996)Premium Calculation by Transf…The Dual Theory of Choice under Risk (1987)The Dual Theory of Choice und…An introduction to mathematical risk theory (1979)An introduction to mathematic…The Mathematical Theory of Insurance. (1975)The Mathematical Theory of In…Mathematical Methods in Risk Theory (1970)Mathematical Methods in Risk …The economics of uncertainty (1968)The economics of uncertaintyTheory of Games and Economic Behavior (1945)Theory of Games and Economic …On the Interplay between Distortion, Mean Value and Haezendonck-Goovaerts Risk Measures (2011)On the Interplay between Dist…Properties of selling and buying prices (2008)Properties of selling and buy…Premium Calculation and Insurance Pricing (2008)Premium Calculation and Insur…Truncated Stop Loss as Optimal Reinsurance Agreement in One-period Models (2005)Truncated Stop Loss as Optima…Capital requirements, risk measures and comonotonicity (2004)Capital requirements, risk me…Solvency Capital, Risk Measures and Comonotonicity: A Review (2003)Solvency Capital, Risk Measur…An Introduction to Copulas (1999)The distribution of realized stock return volatility (2001)Quantitative Risk Management: Concepts, Techniques, and Tools (2005)Pair-copula constructions of multiple dependence (2007)The Econometrics of Financial Markets (2012)A theory of anticipated utility (1982)Prospect theory: An analysis of decision under risk (1988)Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework (1989)Advances in prospect theory: Cumulative representation of uncertainty (1992)Individual differences in reasoning: Implications for the rationality debate? (2000)Subjective probability and expected utility without additivity (2004)Le Comportement de l'Homme Rationnel devant le Risque: Critique des Postulats et Axiomes de l'Ecole Americaine (1953)Axiomatic characterization of insurance prices (1997)Stochastic Processes for Insurance and Finance (1999)A Class of Distortion Operators for Pricing Financial and Insurance Risks (2000)Using copulae to bound the Value-at-Risk for functions of dependent risks (2003)Risk measures and comonotonicity (2006)Conditional value-at-risk for general loss distributions (2002)Modeling and Forecasting Realized Volatility (2003)Theory and Applications of Robust Optimization (2010)Option pricing by Esscher transforms. (1995)On the Time Value of Ruin (1998)Estimates for the probability of ruin with special emphasis on the possibility of large claims (1982)Controlled diffusion models for optimal dividend pay-out (1997)Inf-convolution of risk measures and optimal risk transfer (2005)Toward a positive theory of consumer choice (1980)Non-cooperative games (1989)Correlated Equilibrium as an Expression of Bayesian Rationality (1987)Multiagent systems: algorithmic, game-theoretic, and logical foundations (2009)Evolutionary Game Theory (2011)Actuarial Theory for Dependent Risks: Measures, Orders and Models (2005)Constructing Uncertainty Sets for Robust Linear Optimization (2009)
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References

  • 2019Theory of games and economic behavior16,630 cited
  • 1999Coherent Measures of Risk8,849 cited
  • 1945Theory of Games and Economic Behavior3,887 cited
  • 1987The Dual Theory of Choice under Risk2,426 cited
  • 2002Correlation and Dependence in Risk Management: Properties and Pitfalls1,992 cited
  • 1979An introduction to mathematical risk theory914 cited
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  • 2008Modern Actuarial Risk Theory661 cited
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  • 1975The Mathematical Theory of Insurance.190 cited

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Cited by

  • 2011On the Interplay between Distortion, Mean Value and Haezendonck-Goovaerts Risk Measures43 cited
  • 2003Solvency Capital, Risk Measures and Comonotonicity: A Review38 cited
  • 2008Premium Calculation and Insurance Pricing31 cited
  • 2004Capital requirements, risk measures and comonotonicity28 cited
  • 2005Truncated Stop Loss as Optimal Reinsurance Agreement in One-period Models27 cited
  • 2008Properties of selling and buying prices0 cited