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  • Search: subject:"convex order"
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Year of publication
Subject
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Theorie 38 Theory 38 Convex order 25 convex order 21 Risiko 20 Risk 20 Risikomaß 18 Risk measure 18 Increasing convex order 16 Stochastic process 16 Stochastischer Prozess 16 Measurement 12 Messung 12 Comonotonicity 9 Risikomodell 8 Risk model 8 Mathematical programming 7 Mathematische Optimierung 7 Risikomanagement 7 Risk management 7 Risk measures 7 Counter-monotonicity 6 Portfolio selection 6 Portfolio-Management 6 Complete mixability 5 Supermodular order 5 Majorization 4 Martingal 4 Martingale 4 Mutual exclusivity 4 Option pricing theory 4 Optionspreistheorie 4 Statistical distribution 4 Statistische Verteilung 4 Stochastic dominance 4 mutual exclusivity 4 risk measures 4 stop-loss transform 4 tail convex order 4 Decision under risk 3
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Online availability
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Undetermined 59 Free 12 CC license 1
Type of publication
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Article 79 Book / Working Paper 3
Type of publication (narrower categories)
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Article in journal 47 Aufsatz in Zeitschrift 47 Article 3 Working Paper 2 Arbeitspapier 1 Graue Literatur 1 Non-commercial literature 1
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Language
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English 52 Undetermined 30
Author
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Denuit, Michel 12 Cheung, Ka Chun 11 Dhaene, Jan 8 Lo, Ambrose 6 Trufin, Julien 5 Wang, Ruodu 4 Belzunce, Félix 3 Dentcheva, Darinka 3 Hu, Taizhong 3 Sordo, Miguel A. 3 Budde, Jörg 2 Bäuerle, Nicole 2 Cai, Jun 2 Chi, Yichun 2 Gaffke, Norbert 2 Jakobsons, Edgars 2 Jiang, Xiao 2 Jourdain, Benjamin 2 Leal Vizcaíno, René 2 Lin, Gwo 2 Madan, Dilip B. 2 Martinez, Gabriela 2 Mekonnen, Teddy 2 Schmithals, Daniel Matthias 2 Schoutens, Wim 2 Suárez-Llorens, Alfonso 2 Tang, Qihe 2 Vanduffel, Steven 2 Wang, King 2 Wei, Wei 2 Wolfhagen, Eli 2 Yin, Chuancun 2 Zhang, Jun 2 Zhang, Yiying 2 Zhu, Dan 2 Zou, Zhenfeng 2 Alfonsi, Aurélien 1 Balakrishnan, Narayanaswamy 1 Barmalzan, Ghobad 1 Beatrice, Acciaio 1
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Institution
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Tinbergen Instituut 1
Published in...
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Insurance / Mathematics & economics 18 Insurance: Mathematics and Economics 11 Annals of the Institute of Statistical Mathematics 4 Statistics & Probability Letters 4 Astin bulletin : the journal of the International Actuarial Association 2 European journal of operational research : EJOR 2 Insurance : mathematics and economics 2 International journal of theoretical and applied finance 2 Review of Business and Economics 2 Risks 2 Risks : open access journal 2 ASTIN bulletin : the journal of the International Actuarial Association 1 Central European journal of operations research : CEJOR ; official journal of the Austrian, Croatian, Czech, Hungarian, Slovakian and Slovenian OR Societies 1 Computational Statistics 1 Dependence Modeling 1 Discussion paper / Tinbergen Institute 1 European Journal of Operational Research 1 Finance and Stochastics 1 Finance and stochastics 1 Health care management science 1 Journal of Multivariate Analysis 1 Management Science 1 Management science : journal of the Institute for Operations Research and the Management Sciences 1 Mathematical Methods of Operations Research 1 Mathematical finance : an international journal of mathematics, statistics and financial economics 1 Mathematical methods of operations research 1 Mathematics and financial economics 1 Mathematics of operations research 1 Operations research 1 Production and operations management : an international journal of the Production and Operations Management Society 1 Production and operations management : the flagship research journal of the Production and Operations Management Society 1 Quantitative finance 1 Scandinavian actuarial journal 1 TOP: An Official Journal of the Spanish Society of Statistics and Operations Research 1 The journal of computational finance 1 The journal of computational finance : JFC 1 The journal of risk and insurance : the journal of the American Risk and Insurance Association 1 Theoretical Economics 1 Theoretical economics : TE ; an open access journal in economic theory 1 Tinbergen Institute Discussion Paper 1
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Source
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ECONIS (ZBW) 48 RePEc 30 EconStor 4
Showing 31 - 40 of 82
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On peacocks and lyrebirds : Australian options, Brownian bridges, and the average of submartingales
Ewald, Christian-Oliver; Yor, Marc - In: Mathematical finance : an international journal of … 28 (2018) 2, pp. 536-549
Persistent link: https://www.econbiz.de/10011969088
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Stochastic orders and co-risk measures under positive dependence
Sordo, M. A.; Bello, A. J.; Suárez-Llorens, A. - In: Insurance / Mathematics & economics 78 (2018), pp. 105-113
Persistent link: https://www.econbiz.de/10011825238
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Characterizations of counter-monotonicity and upper comonotonicity by (tail) convex order
Cheung, Ka Chun; Lo, Ambrose - In: Insurance: Mathematics and Economics 53 (2013) 2, pp. 334-342
their components in the senses of the convex order and tail convex order respectively. In the first part, we extend the … convex order if and only if they are counter-monotonic. Three simple and illuminating proofs are provided. In the second part …, we investigate upper comonotonicity by means of the tail convex order. By establishing some useful properties of this …
Persistent link: https://www.econbiz.de/10011046653
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Characterizations of counter-monotonicity and upper comonotonicity by (tail) convex order
Cheung, Ka Chun; Lo, Ambrose - In: Insurance / Mathematics & economics 53 (2013) 2, pp. 334-342
Persistent link: https://www.econbiz.de/10010195921
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Increasing directionally convex orderings of random vectors having the same copula, and their use in comparing ordered data
Balakrishnan, Narayanaswamy; Belzunce, Félix; Sordo, … - In: Journal of Multivariate Analysis 105 (2012) 1, pp. 45-54
, we prove that if the minimum of two sets of generalized order statistics are ordered in the increasing convex order, then … the remaining generalized order statistics are also ordered in the increasing convex order. This result is extended to the … the increasing directionally convex order if the marginals are ordered in the increasing convex order. This latter result …
Persistent link: https://www.econbiz.de/10011041915
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Tail mutual exclusivity and Tail-VaR lower bounds
Cheung, Ka Chun; Denuit, Michel; Dhaene, Jan - In: Scandinavian actuarial journal (2017) 1, pp. 88-104
Persistent link: https://www.econbiz.de/10011771971
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The increasing convex order and the trade-off of size for risk
Liu, Liqun; Meyer, Jack - In: The journal of risk and insurance : the journal of the … 84 (2017) 3, pp. 881-897
Persistent link: https://www.econbiz.de/10011749141
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Two-stage optimization problems with multivariate stochastic order constraints
Dentcheva, Darinka; Wolfhagen, Eli - In: Mathematics of operations research 41 (2016) 1, pp. 1-22
Persistent link: https://www.econbiz.de/10011448280
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Optimal policy for a stochastic scheduling problem with applications to surgical scheduling
Guda, Harish; Dawande, Milind; Janakiraman, Ganesh; … - In: Production and operations management : an international … 25 (2016) 7, pp. 1194-1202
Persistent link: https://www.econbiz.de/10011521532
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A multivariate extension of the increasing convex order to compare risks
Sordo, Miguel A. - In: Insurance / Mathematics & economics 68 (2016), pp. 224-230
Persistent link: https://www.econbiz.de/10011493839
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