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  • Search: subject:"Dynamic convex risk measure"
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Year of publication
Subject
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Portfolio selection 4 Conditional convex risk measure 3 Dynamic convex risk measure 3 Messung 3 Risiko 3 Theorie 3 dynamic convex risk measure 3 entropic risk measure 3 robust representation 3 Measurement 2 Pension system 2 Portfolio-Management 2 Risikomaß 2 Risk 2 Risk measure 2 Stochastic process 2 Stochastischer Prozess 2 Theory 2 g-expectation 2 regularity 2 time consistency 2 Analysis 1 Backward stochastic differential equation 1 Decision under risk 1 Dynamic coherent risk measure 1 Dynamic risk measure for processes 1 Entscheidung unter Risiko 1 Hedging 1 Insolvency 1 Insolvenz 1 Mathematical analysis 1 Risikomanagement 1 Risk management 1 Zeitkonsistenz 1 backward stochastic differential equation 1 insolvency risk 1 multidimensional dynamic convex risk measure 1 risk contribution 1 risk sharing 1 stochastic interaction 1
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Online availability
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Free 4 Undetermined 3
Type of publication
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Book / Working Paper 4 Article 3
Type of publication (narrower categories)
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Article in journal 2 Aufsatz in Zeitschrift 2 Working Paper 1
Language
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English 4 Undetermined 3
Author
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Detlefsen, Kai 3 Scandolo, Giacomo 3 Castaneda, Pablo 1 Castañeda, Pablo 1 Ji, Ronglin 1 Shi, Xuejun 1 Wang, Shijie 1 Xu, Yuhong 1 Zhou, Jinming 1
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Institution
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Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät 1 Superintendencia de Pensiones, Ministerio del Trabajo y Previsión Social 1 Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 1
Published in...
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Finance and Stochastics 1 Insurance / Mathematics & economics 1 MPRA Paper 1 Mathematical finance : an international journal of mathematics, statistics and financial theory 1 SFB 649 Discussion Paper 1 SFB 649 Discussion Papers 1 Working Papers / Superintendencia de Pensiones, Ministerio del Trabajo y Previsión Social 1
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Source
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RePEc 4 ECONIS (ZBW) 2 EconStor 1
Showing 1 - 7 of 7
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Dynamic risk measures for processes via backward stochastic differential equations
Ji, Ronglin; Shi, Xuejun; Wang, Shijie; Zhou, Jinming - In: Insurance / Mathematics & economics 86 (2019), pp. 43-50
Persistent link: https://www.econbiz.de/10012058682
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Multidimensional dynamic risk measure via conditional g-expectation
Xu, Yuhong - In: Mathematical finance : an international journal of … 26 (2016) 3, pp. 638-673
Persistent link: https://www.econbiz.de/10011583787
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Long Term Risk Assessment in a Defined Contribution Pension System
Castañeda, Pablo - Superintendencia de Pensiones, Ministerio del Trabajo y … - 2007
Una de las consecuencias más importantes de la reforma chilena de pensiones realizada a principios de los 80s fue la transferencia de una porción significativa del riesgo asociado al financiamiento de las pensiones, desde el Estado, hacia los afiliados del nuevo sistema obligatorio. En este...
Persistent link: https://www.econbiz.de/10010551787
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Long Term Risk Assessment in a Defined Contribution Pension System
Castaneda, Pablo - Volkswirtschaftliche Fakultät, … - 2006
One of the most important consequences of the Chilean pension reform undertaken in the early 1980s was to transfer a significant portion of the risk associated to the financing of pensions, from the State, to the pension fund participants of the newly established compulsory pension system. This...
Persistent link: https://www.econbiz.de/10005619773
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Conditional and dynamic convex risk measures
Detlefsen, Kai; Scandolo, Giacomo - 2005
conditional risk measures is defined and discussed. Finally we introduce the concept of a dynamic convex risk measure as a family …
Persistent link: https://www.econbiz.de/10010263581
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Conditional and Dynamic Convex Risk Measures
Detlefsen, Kai; Scandolo, Giacomo - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2005
conditional risk measures is defined and discussed. Finally we introduce the concept of a dynamic convex risk measure as a family …
Persistent link: https://www.econbiz.de/10005678011
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Conditional and dynamic convex risk measures
Detlefsen, Kai; Scandolo, Giacomo - In: Finance and Stochastics 9 (2005) 4, pp. 539-561
introduce the concept of a dynamic convex risk measure as a family of successive conditional convex risk measures and …
Persistent link: https://www.econbiz.de/10005390720
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