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Beyond Value‐at‐Risk: GlueVaR Distortion Risk Measures
16 references·6 citing·38 second hop
Beyond Value‐at‐Risk: GlueVaR Distortion Risk Measures (2013)Beyond Value‐at‐Risk: GlueVaR Distortion …Confronting Deep Uncertainties in Risk Analysis (2012)Confronting Deep Uncertaintie…Quantitative Risk Management (2011)Quantitative Risk ManagementAggregation functions: Means (2010)Aggregation functions: MeansMultivariate extremes and the aggregation of dependent risks: examples and counter-examples (2008)Multivariate extremes and the…Health of Immigrants in European Countries (2008)Health of Immigrants in Europ…Actuarial Theory for Dependent Risks: Measures, Orders and Models (2005)Actuarial Theory for Dependen…Actuarial Theory for Dependent Risks (2005)Actuarial Theory for Dependen…Putting order in risk measures (2002)Putting order in risk measuresOn the coherence of expected shortfall (2002)On the coherence of expected …Measures of risk (2002)Measures of riskConvex measures of risk and trading constraints (2002)Convex measures of risk and t…Coherent Measures of Risk (1999)Coherent Measures of RiskComonotonicity, correlation order and premium principles (1998)Comonotonicity, correlation o…Premium Calculation by Transforming the Layer Premium Density (1996)Premium Calculation by Transf…Insurance pricing and increased limits ratemaking by proportional hazards transforms (1995)Insurance pricing and increas…OR Practice—A Scenario Approach to Capacity Planning (1989)OR Practice—A Scenario Approa…DISTORTION RISKMETRICS ON GENERAL SPACES (2020)DISTORTION RISKMETRICS ON GEN…Which Parameters Are Important? Differential Importance Under Uncertainty (2018)Which Parameters Are Importan…Cascade Sensitivity Measures (2018)Cascade Sensitivity MeasuresRisk-Averse Approximate Dynamic Programming with Quantile-Based Risk Measures (2017)Risk-Averse Approximate Dynam…MODELING LONGEVITY RISK WITH GENERALIZED DYNAMIC FACTOR MODELS AND VINE-COPULAE (2015)MODELING LONGEVITY RISK WITH …GlueVaR risk measures in capital allocation applications (2014)GlueVaR risk measures in capi…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)An Overview of Value at Risk (1997)Function Spaces and Capacity Related to a Sublinear Expectation: Application to G-Brownian Motion Paths (2010)Robustness and sensitivity analysis of risk measurement procedures (2010)Nonlinear Expectations and Stochastic Calculus under Uncertainty (2019)Mean-Risk Analysis with Risk Associated with Below-Target Returns (1975)Financial Theory and Corporate Policy. (1980)Restoring Our Competitive Edge: Competing through Manufacturing. (1985)When and how to use scenario planning: A heuristic approach with illustration (1991)Scenarios for Multistage Stochastic Programs (2000)A Multi-Stage Stochastic Integer Programming Approach for Capacity Expansion under Uncertainty (2003)Optimization of conditional value-at-risk (2000)Conditional value-at-risk for general loss distributions (2002)Spectral measures of risk: A coherent representation of subjective risk aversion (2002)Lectures on Stochastic Programming: Modeling and Theory (2009)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)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)Modelling Extremal Events (1997)An Introduction to Statistical Modeling of Extreme Values (2001)GENERALIZED AUTOREGRESSIVE SCORE MODELS WITH APPLICATIONS (2012)Is the Potential for International Diversification Disappearing? A Dynamic Copula Approach (2012)Dynamic Conditional Correlation: On Properties and Estimation (2013)Modeling and Forecasting Realized Volatility (2003)Theory and Applications of Robust Optimization (2010)Insurance Risk and Ruin (2005)Risk measures and comonotonicity (2006)New Measures for Performance Evaluation (2008)Distributionally Robust Optimization and Its Tractable Approximations (2010)Distributionally Robust Convex Optimization (2014)
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References

  • 1999Coherent Measures of Risk8,849 cited
  • 2002On the coherence of expected shortfall1,596 cited
  • 2002Convex measures of risk and trading constraints1,452 cited
  • 2011Quantitative Risk Management985 cited
  • 1996Premium Calculation by Transforming the Layer Premium Density696 cited
  • 2002Putting order in risk measures684 cited
  • 2005Actuarial Theory for Dependent Risks536 cited
  • 2005Actuarial Theory for Dependent Risks: Measures, Orders and Models498 cited
  • 1989OR Practice—A Scenario Approach to Capacity Planning407 cited
  • 1995Insurance pricing and increased limits ratemaking by proportional hazards transforms338 cited
  • 2002Measures of risk325 cited
  • 2010Aggregation functions: Means264 cited
  • 2012Confronting Deep Uncertainties in Risk Analysis209 cited
  • 2008Health of Immigrants in European Countries188 cited
  • 1998Comonotonicity, correlation order and premium principles153 cited
  • 2008Multivariate extremes and the aggregation of dependent risks: examples and counter-examples137 cited

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Cited by

  • 2020DISTORTION RISKMETRICS ON GENERAL SPACES50 cited
  • 2017Risk-Averse Approximate Dynamic Programming with Quantile-Based Risk Measures45 cited
  • 2014GlueVaR risk measures in capital allocation applications37 cited
  • 2018Cascade Sensitivity Measures17 cited
  • 2015MODELING LONGEVITY RISK WITH GENERALIZED DYNAMIC FACTOR MODELS AND VINE-COPULAE15 cited
  • 2018Which Parameters Are Important? Differential Importance Under Uncertainty14 cited