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Time-consistency of risk measures : how strong is such a property?
Mastrogiacomo, Elisa; Rosazza Gianin, Emanuela - In: Decisions in economics and finance : DEF ; a journal of … 42 (2019) 1, pp. 287-317
Persistent link: https://www.econbiz.de/10012065238
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Capital allocation à la Aumann-Shapley for non-differentiable risk measures
Centrone, Francesca; Rosazza Gianin, Emanuela - In: European journal of operational research : EJOR 267 (2018) 2, pp. 667-675
Persistent link: https://www.econbiz.de/10011812548
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Robust return risk measures
Bellini, Fabio; Laeven, Roger J. A.; Rosazza Gianin, … - In: Mathematics and financial economics 12 (2018) 1, pp. 5-32
Persistent link: https://www.econbiz.de/10011963258
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Haezendonck-Goovaerts capital allocation rules
Canna, Gabriele; Centrone, Francesca; Rosazza Gianin, … - In: Insurance / Mathematics & economics 101 (2021) 2, pp. 173-185
Persistent link: https://www.econbiz.de/10012793922
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Capital allocation for set-valued risk measures
Centrone, Francesca; Rosazza Gianin, Emanuela - In: International journal of theoretical and applied finance 23 (2020) 1, pp. 1-16
Persistent link: https://www.econbiz.de/10012270884
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Capital allocation rules and acceptance sets
Canna, Gabriele; Centrone, Francesca; Rosazza Gianin, … - In: Mathematics and financial economics 14 (2020) 4, pp. 759-781
Persistent link: https://www.econbiz.de/10012321876
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Dynamic robust Orlicz premia and Haezendonck-Goovaerts risk measures
Bellini, Fabio; Laeven, Roger J. A.; Rosazza Gianin, … - In: European journal of operational research : EJOR 291 (2021) 2, pp. 438-446
Persistent link: https://www.econbiz.de/10012495322