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Superquantile/CVaR risk measures : second-order theory
Rockafellar, Ralph Tyrrell; Royset, Johannes O. - In: Risk management approaches in engineering applications, (pp. 3-28). 2018
Persistent link: https://www.econbiz.de/10011869984
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On the dual representation of coherent risk measures
Ang, Marcus; Sun, Jie; Yao, Qiang - In: Risk management approaches in engineering applications, (pp. 29-46). 2018
Persistent link: https://www.econbiz.de/10011869997
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When is tail mean estimation more efficient than tail median? : answers and implications for quantitative risk management
Barnard, Roger W.; Pearce, Kent; Trindade, A. Alexandre - In: Risk management approaches in engineering applications, (pp. 47-65). 2018
Persistent link: https://www.econbiz.de/10011869998
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A fair division approach to humanitarian logistics inspired by conditional value-at-risk
Chapman, Amy Givler; Mitchell, John E. - In: Risk management approaches in engineering applications, (pp. 133-151). 2018
Persistent link: https://www.econbiz.de/10011870007
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Numerical computation of convex risk measures
Papayiannis, G. I.; Yannacopoulos, Athanasios N. - In: Advances of OR in commodities and financial modeling, (pp. 417-435). 2018
Persistent link: https://www.econbiz.de/10011871424
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Cash flow matching with risks controlled by buffered probability of exceedance and conditional value-at-risk
Shang, Danjue; Kuzmenko, Victor; Uryasev, Victor - In: Advances of OR in commodities and financial modeling, (pp. 501-514). 2018
Persistent link: https://www.econbiz.de/10011871446