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OPTIMAL CAPITAL AND RISK TRANSFERS FOR GROUP DIVERSIFICATION
16 references·0 citing·31 second hop
OPTIMAL CAPITAL AND RISK TRANSFERS FOR GROUP DIVERSIFICATION (2007)OPTIMAL CAPITAL AND RISK TRANSFERS FOR GR…Weighted risk capital allocations (2008)Weighted risk capital allocat…OPTIMAL RISK SHARING FOR LAW INVARIANT MONETARY UTILITY FUNCTIONS (2008)OPTIMAL RISK SHARING FOR LAW …VALUATIONS AND DYNAMIC CONVEX RISK MEASURES (2007)VALUATIONS AND DYNAMIC CONVEX…To Split or Not to Split: Capital Allocation with Convex Risk Measures (2007)To Split or Not to Split: Cap…Inf-convolution of risk measures and optimal risk transfer (2005)Inf-convolution of risk measu…Financial Markets in Continuous Time (2003)Financial Markets in Continuo…Stochastic Finance: An Introduction in Discrete Time (2002)Stochastic Finance: An Introd…Stochastic Finance (2002)Stochastic FinancePutting order in risk measures (2002)Putting order in risk measuresConvex measures of risk and trading constraints (2002)Convex measures of risk and t…Coherent risk measures (2000)Coherent risk measuresCoherent Measures of Risk (1999)Coherent Measures of RiskDynamic Asset Pricing Theory. (1993)Dynamic Asset Pricing Theory.On convex principles of premium calculation (1985)On convex principles of premi…The General Economic Premium Principle (1984)The General Economic Premium …Optimal Risk Exchanges (1979)Optimal Risk ExchangesAn 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)Cores of convex games (1971)On law invariant coherent risk measures (2001)Ambiguous chance constrained problems and robust optimization (2005)Law invariant risk measures have the Fatou property (2007)The Pricing of Options and Corporate Liabilities (1973)A Theory of the Term Structure of Interest Rates (1985)Prospect theory: An analysis of decision under risk (1988)A YIELD‐FACTOR MODEL OF INTEREST RATES (1996)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)Introductory Econometrics for Finance (2008)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)Quantile-Based Risk Sharing (2018)Generalized deviations in risk analysis (2005)Utility maximization in incomplete markets (2005)Nonlinear Expectations and Stochastic Calculus under Uncertainty (2019)Conditional value-at-risk for general loss distributions (2002)Modeling and Forecasting Realized Volatility (2003)Theory and Applications of Robust Optimization (2010)An example of indifference prices under exponential preferences (2004)Dynamic exponential utility indifference valuation (2005)Distributionally Robust Optimization and Its Tractable Approximations (2010)Distributionally Robust Convex Optimization (2014)Equilibrium in Continuous-Time Financial Markets: Endogenously Dynamically Complete Markets (2008)Optimal investment under partial information (2010)The Skorokhod Embedding Problem and Model-Independent Bounds for Option Prices (2010)Arbitrage-free SVI volatility surfaces (2013)
this work references cited by second hop

References

  • 1999Coherent Measures of Risk8,849 cited
  • 1993Dynamic Asset Pricing Theory.2,891 cited
  • 2002Convex measures of risk and trading constraints1,452 cited
  • 2002Stochastic Finance: An Introduction in Discrete Time1,190 cited
  • 2002Putting order in risk measures684 cited
  • 2000Coherent risk measures308 cited
  • 2005Inf-convolution of risk measures and optimal risk transfer295 cited
  • 2002Stochastic Finance251 cited
  • 2008OPTIMAL RISK SHARING FOR LAW INVARIANT MONETARY UTILITY FUNCTIONS232 cited
  • 2003Financial Markets in Continuous Time216 cited
  • 1985On convex principles of premium calculation191 cited
  • 1984The General Economic Premium Principle173 cited
  • 1979Optimal Risk Exchanges140 cited
  • 2008Weighted risk capital allocations139 cited
  • 2007To Split or Not to Split: Capital Allocation with Convex Risk Measures130 cited
  • 2007VALUATIONS AND DYNAMIC CONVEX RISK MEASURES122 cited

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