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Search: subject:"robust representation"
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robust representation
11
Theorie
6
Blackwell-Dubins
5
Robust representation
5
Uncertainty
5
Dynamic Convex Risk Measures
4
Multiple Priors
4
Risiko
4
Robust Representation
4
Time-Consistency
4
entropic risk measure
4
time-consistency
4
Conditional convex risk measure
3
Messung
3
Zeitkonsistenz
3
dynamic convex risk measure
3
dynamic convex risk measures
3
time consistency
3
Cash flows
2
Dynamic convex risk measures
2
Entscheidung bei Unsicherheit
2
Erwartungsnutzen
2
Erwartungstheorie
2
Risikomanagement
2
Risikopräferenz
2
Risk
2
Risk management
2
Robustes Verfahren
2
Theory
2
Time consistency
2
[phi]- and [alpha]-mixing sequences of random variables
2
asymptotic safety
2
bubbles
2
coherent risk measure
2
construction by generators
2
discounting ambiguity
2
distortion risk measure
2
local test probabilities
2
model ambiguity
2
nonuniform Berry-Esseen inequality
2
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Free
12
Undetermined
9
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Book / Working Paper
11
Article
9
Other
1
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Working Paper
4
Article in journal
2
Aufsatz in Zeitschrift
2
research-article
1
Language
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English
12
Undetermined
9
Author
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Bier, Monika
5
Engelage, Daniel
5
Krätschmer, Volker
4
Detlefsen, Kai
3
Föllmer, Hans
3
Penner, Irina
3
Scandolo, Giacomo
3
Zähle, Henryk
3
Acciaio, Beatrice
2
Kupper, Michael
2
Angelsberg, Gilles
1
Delbaen, Freddy
1
EISELE, KARL-THEODOR
1
Eisele, Karl-Theodor
1
FÖLLMER, HANS
1
Jokhadze, Valeriane
1
KUPPER, MICHAEL
1
Kaelin, Ivo
1
Kong, Dezhou
1
Liu, Lishan
1
Näf, Joachim
1
PENNER, IRINA
1
Schmidt, Wolfgang M.
1
Wu, Yonghong
1
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Institution
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Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät
3
Institut für Mathematische Wirtschaftsforschung, Universität Bielefeld
1
Laboratoire de Recherche en Gestion (LaRGE), Institut de Finance de Strasbourg
1
London School of Economics (LSE)
1
University of Bonn, Germany
1
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Finance and Stochastics
3
SFB 649 Discussion Papers
3
Bonn Econ Discussion Papers
2
SFB 649 Discussion Paper
2
Statistics & Risk Modeling
2
Insurance / Mathematics & economics
1
Insurance: Mathematics and Economics
1
International Journal of Theoretical and Applied Finance (IJTAF)
1
International journal of theoretical and applied finance
1
LSE Research Online Documents on Economics
1
Working Papers
1
Working Papers / Institut für Mathematische Wirtschaftsforschung, Universität Bielefeld
1
Working Papers of LaRGE Research Center
1
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RePEc
12
EconStor
4
ECONIS (ZBW)
2
Other ZBW resources
2
BASE
1
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1
Measuring model risk in financial risk management and pricing
Jokhadze, Valeriane
;
Schmidt, Wolfgang M.
- In:
International journal of theoretical and applied finance
23
(
2020
)
2
,
pp. 1-37
Persistent link: https://www.econbiz.de/10012270928
Saved in:
2
On s-additive
robust
representation
of convex risk measures for unbounded financial positions in the presence of uncertainty about the market model
Krätschmer, Volker
-
Sonderforschungsbereich 649: Ökonomisches Risiko, …
-
2007
SFB 649 Discussion Paper 2007-010 On σ−additive
robust
representation
of convex risk measures … K B E R L I N On σ−additive
robust
representation
of convex risk measures for …−additive
robust
representation
, Fatou property, non- sequential Fatou property, strong σ−additive
robust
representation
, Krein …
Persistent link: https://www.econbiz.de/10005652760
Saved in:
3
ASYMPTOTICALLY STABLE DYNAMIC RISK ASSESSMENTS
EISELE, KARL-THEODOR
;
KUPPER, MICHAEL
-
Laboratoire de Recherche en Gestion (LaRGE), Institut …
-
2013
below, these risk assessments are exactly those which allow a
robust
representation
with so-called local test probabilities …
Persistent link: https://www.econbiz.de/10010633270
Saved in:
4
Optimal reinsurance under risk and uncertainty on Orlicz hearts
Kong, Dezhou
;
Liu, Lishan
;
Wu, Yonghong
- In:
Insurance / Mathematics & economics
81
(
2018
),
pp. 108-116
Persistent link: https://www.econbiz.de/10011904634
Saved in:
5
Risk assessment for uncertain cash flows: model ambiguity, discounting ambiguity, and the role of bubbles
Acciaio, Beatrice
;
Föllmer, Hans
;
Penner, Irina
-
London School of Economics (LSE)
-
2012
amounts but also the timing of a cash flow. We discuss their
robust
representation
in terms of suitably penalised probability …
Persistent link: https://www.econbiz.de/10011071088
Saved in:
6
Asymptotically stable dynamic risk assessments
Eisele, Karl-Theodor
;
Kupper, Michael
- In:
Statistics & Risk Modeling
33
(
2016
)
1-2
,
pp. 41-50
additional continuity assumption, these risk assessments are exactly those which have a
robust
representation
in terms of test …
Persistent link: https://www.econbiz.de/10014621212
Saved in:
7
Merging of opinions under uncertainty
Bier, Monika
;
Engelage, Daniel
-
2010
, utility in terms of dynamic variational preferences in an uncertain setting. By virtue of a
robust
representation
, we show …
Persistent link: https://www.econbiz.de/10009452571
Saved in:
8
Merging of Opinions under Uncertainty
Bier, Monika
;
Engelage, Daniel
-
2010
, utility in terms of dynamic variational preferences in an uncertain setting. By virtue of a
robust
representation
, we show …
Persistent link: https://www.econbiz.de/10010270415
Saved in:
9
Sensitivity of risk measures with respect to the normal approximation of total claim distributions
Krätschmer, Volker
;
Zähle, Henryk
-
2010
A simple and commonly used method to approximate the total claim distribution of a (possible weakly dependent) insurance collective is the normal approximation. In this article, we investigate the error made when the normal approximation is plugged in a fairly general distribution-invariant risk...
Persistent link: https://www.econbiz.de/10010270712
Saved in:
10
Merging of opinions under uncertainty
Bier, Monika
;
Engelage, Daniel
-
2010
, utility in terms of dynamic variational preferences in an uncertain setting. By virtue of a
robust
representation
, we show …
Persistent link: https://www.econbiz.de/10010272543
Saved in:
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