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Solvency II, regulatory capital, and optimal reinsurance: How good are Conditional Value-at-Risk and spectral risk measures?

Brandtner, Mario; Kürsten, Wolfgang - In: Insurance: Mathematics and Economics 59 (2014) C, pp. 156-167

We study the problem of optimal reinsurance as a means of risk management in the regulatory framework of Solvency II under Conditional Value-at-Risk and, as its natural extension, spectral risk measures. First, we show that stop-loss reinsurance is optimal under both Conditional Value-at-Risk...

Persistent link: https://www.econbiz.de/10011116640

Decision making with Expected Shortfall and spectral risk measures : the problem of comparative risk aversion

Brandtner, Mario; Kürsten, Wolfgang - In: Journal of banking & finance 58 (2015), pp. 268-280

Persistent link: https://www.econbiz.de/10011544006

Consistent modeling of risk averse behavior with spectral risk measures : Wächter/Mazzoni revisited

Brandtner, Mario; Kürsten, Wolfgang - In: European journal of operational research : EJOR 259 (2017) 1, pp. 394-399

Persistent link: https://www.econbiz.de/10011645033

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

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

Advances in management research : a bibliometric overview of the Review of Managerial Science

Mas-Tur, Alicia; Kraus, Sascha; Brandtner, Mario; … - In: Review of managerial science : RMS 14 (2020) 5, pp. 933-958

Persistent link: https://www.econbiz.de/10012303729

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

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

Tail nonlinearly transformed risk measure as a capital constraint : a better choice for bank regulation than conditional value-at-risk?

Bergk, Kerstin; Brandtner, Mario; Kürsten, Wolfgang - In: Modern finance and risk management : Festschrift in …, (pp. 197-218). 2022

Persistent link: https://www.econbiz.de/10013336233

"Spectral risk measures: properties and limitations" : comment on Dowd, Cotter, and Sorwar

Brandtner, Mario - In: Journal of financial services research : JFSR 49 (2016) 1, pp. 121-131

Persistent link: https://www.econbiz.de/10011591964