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Decision making with conditional value-at-risk and spectral risk measures : the problem of comparative risk aversion ; conference paper

Brandtner, Mario; Kürsten, Wolfgang - 2014

We analyze spectral risk measures with respect to comparative risk aversion following Arrow (1965) and Pratt (1964) on the one hand, and Ross (1981) on the other hand. The implications for two standard financial decision problems, namely the willingness to pay for insurance and portfolio...

Persistent link: https://www.econbiz.de/10010491150

Sensitivity analysis of VaR and expected shortfall for portfolios under netting agreements

Fermanian, Jean-David; Scaillet, Olivier - 2003

Persistent link: https://www.econbiz.de/10001807607

Sensitivity analysis of var and expected shortfall for portfolios under netting agreements

Fermanian, Jean-David; Scaillet, Olivier - 2003

Persistent link: https://www.econbiz.de/10001812434

Sensitivity analysis of VaR expected shortfall for portfolios under netting agreements

Fermanian, Jean-David (contributor); … - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001791460

Decision making under risk with spectral risk measures : concepts and applications in financial theory

Brandtner, Mario - 2016

Persistent link: https://www.econbiz.de/10011525409

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