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ASYMPTOTIC EQUIVALENCE OF RISK MEASURES UNDER DEPENDENCE UNCERTAINTY
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ASYMPTOTIC EQUIVALENCE OF RISK MEASURES UNDER DEPENDENCE UNCERTAINTY (2015)ASYMPTOTIC EQUIVALENCE OF RISK MEASURES U…Model uncertainty and VaR aggregation (2013)Model uncertainty and VaR agg…Stochastic Finance (2011)Stochastic FinanceRobustness and sensitivity analysis of risk measurement procedures (2010)Robustness and sensitivity an…Quantitative Risk Management: Concepts, Techniques, and Tools (2006)Quantitative Risk Management:…Quantitative Risk Management: Concepts, Techniques, and Tools (2005)Quantitative Risk Management:…The concept of comonotonicity in actuarial science and finance: theory (2002)The concept of comonotonicity…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 …Putting order in risk measures (2002)Putting order in risk measuresConvex measures of risk and trading constraints (2002)Convex measures of risk and t…On law invariant coherent risk measures (2001)On law invariant coherent ris…Coherent Measures of Risk (1999)Coherent Measures of RiskAxiomatic characterization of insurance prices (1997)Axiomatic characterization of…Generalized Expected Utility Theory. The Rank-Dependent Model (1996)Generalized Expected Utility …Generalized Expected Utility Theory (1993)Generalized Expected Utility …The Dual Theory of Choice under Risk (1987)The Dual Theory of Choice und…An Introduction to Copulas (1999)Correlation and Dependence in Risk Management: Properties and Pitfalls (2002)Pair-copula constructions of multiple dependence (2007)Quantitative Risk Management (2011)Multivariate Archimax copulas (2014)Log-Periodogram Regression of Time Series with Long Range Dependence (1995)Coherent Risk Measures on General Probability Spaces (2002)On the coherence of expected shortfall (2002)Lectures on Stochastic Programming (2009)An Overview of Value at Risk (1997)Function Spaces and Capacity Related to a Sublinear Expectation: Application to G-Brownian Motion Paths (2010)Modelling Extremal Events (1997)Modeling and Forecasting Realized Volatility (2003)Theory of rational option pricing (2005)Convex Duality in Constrained Portfolio Optimization (1992)Theory and Applications of Robust Optimization (2011)Distributionally Robust Convex Optimization (2014)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)Optimization of conditional value-at-risk (2000)Conditional value-at-risk for general loss distributions (2002)Making and Evaluating Point Forecasts (2011)Frameworks and Results in Distributionally Robust Optimization (2022)The value of an Asian option (1995)The concept of comonotonicity in actuarial science and finance: applications (2002)Actuarial Theory for Dependent Risks: Measures, Orders and Models (2005)Constructing Uncertainty Sets for Robust Linear Optimization (2009)Generalized deviations in risk analysis (2005)Nonlinear Expectations and Stochastic Calculus under Uncertainty (2019)Basel Committee On Banking Supervision (2010)A critical review on supply chain risk – Definition, measure and modeling (2014)
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References

  • 1999Coherent Measures of Risk8,849 cited
  • 1987The Dual Theory of Choice under Risk2,426 cited
  • 2005Quantitative Risk Management: Concepts, Techniques, and Tools2,208 cited
  • 2006Quantitative Risk Management: Concepts, Techniques, and Tools2,014 cited
  • 2002Convex measures of risk and trading constraints1,452 cited
  • 2002Stochastic Finance: An Introduction in Discrete Time1,215 cited
  • 2002Spectral measures of risk: A coherent representation of subjective risk aversion946 cited
  • 2002Putting order in risk measures684 cited
  • 2001On law invariant coherent risk measures676 cited
  • 2002The concept of comonotonicity in actuarial science and finance: theory634 cited
  • 1997Axiomatic characterization of insurance prices535 cited
  • 1996Generalized Expected Utility Theory. The Rank-Dependent Model478 cited
  • 1993Generalized Expected Utility Theory478 cited
  • 2011Stochastic Finance424 cited
  • 2010Robustness and sensitivity analysis of risk measurement procedures377 cited
  • 2013Model uncertainty and VaR aggregation295 cited

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