A risk measurement approach from risk-averse stochastic optimization of score functions
Marcelo Brutti Righi, Fernanda Maria Müller, Marlon Ruoso Moresco
| Year of publication: |
2025
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|---|---|
| Authors: | Righi, Marcelo Brutti ; Müller, Fernanda Maria ; Moresco, Marlon Ruoso |
| Published in: |
Insurance : mathematics and economics. - Amsterdam : North Holland Publ. Co., ISSN 0167-6687, ZDB-ID 2010248-3. - Vol. 120.2025, p. 42-50
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| Subject: | Deviation measures | Risk management | Risk measures | Robust stochastic programming | Uncertainty modeling | Risiko | Risk | Risikomanagement | Stochastischer Prozess | Stochastic process | Risikomaß | Risk measure | Theorie | Theory | Messung | Measurement | Mathematische Optimierung | Mathematical programming | Portfolio-Management | Portfolio selection | Entscheidung unter Unsicherheit | Decision under uncertainty |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.insmatheco.2024.11.005 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015431880