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Risk Measures and Comonotonicity: A Review
16 references·4 citing·33 second hop
Risk Measures and Comonotonicity: A Review (2006)Risk Measures and Comonotonicity: A ReviewTheory 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…Upper and lower bounds or sum of random variables (2000)Upper and lower bounds or sum…A Class of Distortion Operators for Pricing Financial and Insurance Risks (2000)A Class of Distortion Operato…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…Dependency of Risks and Stop-Loss Order (1996)Dependency of Risks and Stop-…Insurance pricing and increased limits ratemaking by proportional hazards transforms (1995)Insurance pricing and increas…Generalized Expected Utility Theory (1993)Generalized Expected Utility …Effective actuarial methods (1990)Effective actuarial methodsThe Dual Theory of Choice under Risk (1987)The Dual Theory of Choice und…The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…Theory of Games and Economic Behavior (1945)Theory of Games and Economic …Seven Proofs for the Subadditivity of Expected Shortfall (2015)Seven Proofs for the Subaddit…An application of capital allocation principles to operational risk and the cost of fraud (2014)An application of capital all…Bounds and approximations for sums of dependent log-elliptical random variables (2008)Bounds and approximations for…Measuring Sectoral Diversification in an Asymptotic Multi-Factor Framework (2005)Measuring Sectoral Diversific…An Intertemporal Capital Asset Pricing Model (1973)The valuation of options for alternative stochastic processes (1976)Pricing Death: Frameworks for the Valuation and Securitization of Mortality Risk (2006)Constructing Uncertainty Sets for Robust Linear Optimization (2009)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)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Theory of rational option pricing (2005)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)Correlation and Dependence in Risk Management: Properties and Pitfalls (2002)Actuarial Theory for Dependent Risks: Measures, Orders and Models (2005)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)Toward a positive theory of consumer choice (1980)Non-cooperative games (1989)Prospect Theory: Much Ado About Nothing? (2002)Household Portfolio Diversification: A Case for Rank-Dependent Preferences (2005)Representative design and probabilistic theory in a functional psychology. (1955)Features of similarity. (1977)Evolutionary game dynamics (2003)
this work references cited by second hop

References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 2019Theory of games and economic behavior16,630 cited
  • 1999Coherent Measures of Risk8,849 cited
  • 1945Theory of Games and Economic Behavior4,006 cited
  • 1987The Dual Theory of Choice under Risk2,426 cited
  • 1996Premium Calculation by Transforming the Layer Premium Density696 cited
  • 2008Modern Actuarial Risk Theory661 cited
  • 2000A Class of Distortion Operators for Pricing Financial and Insurance Risks650 cited
  • 2002The concept of comonotonicity in actuarial science and finance: theory634 cited
  • 1993Generalized Expected Utility Theory478 cited
  • 2002The concept of comonotonicity in actuarial science and finance: applications398 cited
  • 1995Insurance pricing and increased limits ratemaking by proportional hazards transforms338 cited
  • 1996Dependency of Risks and Stop-Loss Order224 cited
  • 1999Application of Coherent Risk Measures to Capital Requirements in Insurance214 cited
  • 1990Effective actuarial methods192 cited
  • 2000Upper and lower bounds or sum of random variables

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190 cited

Cited by

  • 2015Seven Proofs for the Subadditivity of Expected Shortfall47 cited
  • 2008Bounds and approximations for sums of dependent log-elliptical random variables41 cited
  • 2005Measuring Sectoral Diversification in an Asymptotic Multi-Factor Framework23 cited
  • 2014An application of capital allocation principles to operational risk and the cost of fraud19 cited