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~person:"Furman, Edward"
~person:"Kürsten, Wolfgang"
~subject:"Prognoseverfahren"
~subject:"Risk"
~type_genre:"Article in journal"
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Prognoseverfahren
Risk
Risikomaß
19
Risk measure
19
Theorie
19
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19
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15
Measurement
12
Messung
12
Portfolio selection
11
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11
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7
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7
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6
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6
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4
Entscheidung unter Risiko
4
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4
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4
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3
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3
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3
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2
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2
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2
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2
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2
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2
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Furman, Edward
Kürsten, Wolfgang
Wang, Ruodu
20
Righi, Marcelo Brutti
19
Mao, Tiantian
12
Rosazza Gianin, Emanuela
12
Gerlach, Richard
10
Müller, Fernanda Maria
10
Brandtner, Mario
9
Cai, Jun
9
McAleer, Michael
9
Rüschendorf, Ludger
9
Balbás de la Corte, Alejandro
8
Bellini, Fabio
8
Cheung, Ka Chun
8
Pichler, Alois
8
Tang, Qihe
8
Asimit, Alexandru V.
7
Chen, Cathy W. S.
7
Degiannakis, Stavros
7
Guillén, Montserrat
7
Gupta, Rangan
7
Laeven, Roger J. A.
7
Puccetti, Giovanni
7
Rudloff, Birgit
7
Stoja, Evarist
7
Taylor, James W.
7
Weiß, Gregor
7
Balbás, Beatriz
6
Embrechts, Paul
6
Liu, Haiyan
6
Munari, Cosimo-Andrea
6
Peng, Liang
6
Polanski, Arnold
6
Rösch, Daniel
6
Wang, Chao
6
Xu, Huifu
6
Bernardi, Mauro
5
Bäuerle, Nicole
5
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5
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5
European journal of operational research : EJOR
2
Journal of banking & finance
2
Astin bulletin : the journal of the International Actuarial Association
1
Das Wirtschaftsstudium : wisu ; Zeitschrift für Ausbildung, Prüfung, Berufseinstieg und Fortbildung
1
North American actuarial journal : NAAJ ; leading the way with original research and innovative applications for actuarial science
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Quantitative finance
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ECONIS (ZBW)
15
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1
Multiplicative background risk models : setting a course for the idiosyncratic risk factors distributed phase-type
Furman, Edward
;
Kye, Yisub
;
Su, Jianxi
- In:
Insurance / Mathematics & economics
96
(
2021
),
pp. 153-167
Persistent link: https://www.econbiz.de/10012482842
Saved in:
2
Can a regulatory risk measure induce profit-maximizing risk capital allocations? : the case of conditional tail expectation
Mohammed, Nawaf
;
Furman, Edward
;
Su, Jianxi
- In:
Insurance / Mathematics & economics
101
(
2021
)
2
,
pp. 425-436
Persistent link: https://www.econbiz.de/10012793935
Saved in:
3
Portfolio selection with tail nonlinearly transformed risk measures : a comparison with mean-CVaR analysis
Bergk, Kerstin
;
Brandtner, Mario
;
Kürsten, Wolfgang
- In:
Quantitative finance
21
(
2021
)
6
,
pp. 1011-1025
Persistent link: https://www.econbiz.de/10012515633
Saved in:
4
Discussion on "size-biased risk measures of compound sums," by Michel Denuit, January 2020
Furman, Edward
;
Kye, Yisub
;
Su, Jianxi
- In:
North American actuarial journal : NAAJ ; leading the …
25
(
2021
)
4
,
pp. 631-636
Persistent link: https://www.econbiz.de/10013167030
Saved in:
5
Beyond expected utility : subjective risk aversion and optimal portfolio choice under convex shortfall risk measures
Brandtner, Mario
;
Kürsten, Wolfgang
;
Rischau, Robert
- In:
European journal of operational research : EJOR
285
(
2020
)
3
,
pp. 1114-1126
Persistent link: https://www.econbiz.de/10012239858
Saved in:
6
Nonlinearly transformed risk measures : properties and application to optimal reinsurance
Brandtner, Mario
;
Kürsten, Wolfgang
;
Rischau, Robert
- In:
Scandinavian actuarial journal
2020
(
2020
)
5
,
pp. 376-395
Persistent link: https://www.econbiz.de/10012262746
Saved in:
7
Weighted risk capital allocations in the presence of systematic risk
Furman, Edward
;
Kuznetsov, Alexey
;
Zitikis, Ričardas
- In:
Insurance / Mathematics & economics
79
(
2018
),
pp. 75-81
Persistent link: https://www.econbiz.de/10011825387
Saved in:
8
Entropic risk measures and their comparative statics in portfolio selection : coherence vs. convexity
Brandtner, Mario
;
Kürsten, Wolfgang
;
Rischau, Robert
- In:
European journal of operational research : EJOR
264
(
2018
)
2
,
pp. 707-716
Persistent link: https://www.econbiz.de/10011801916
Saved in:
9
Multiple risk factor dependence structures : distributional properties
Su, Jianxi
;
Furman, Edward
- In:
Insurance / Mathematics & economics
76
(
2017
),
pp. 56-68
Persistent link: https://www.econbiz.de/10011774770
Saved in:
10
Gini-type measures of risk and variability : gini shortfall, capital allocations, and heavy-tailed risks
Furman, Edward
;
Wang, Ruodu
;
Zitikis, Ričardas
- In:
Journal of banking & finance
83
(
2017
),
pp. 70-84
Persistent link: https://www.econbiz.de/10011816823
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