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Agliardi, Rossella - In: Financial innovation : FIN 4 (2018) 10, pp. 1-13

This study explored the effects of ambiguity on the calculation of Value-at-Risk (VaR) using a mathematical model based on the theory of Choquet-Brownian processes. It was found that while a moderate degree of ambiguity aversion yields a higher value for VaR and Expected Shortfall (ES), the...

Persistent link: https://www.econbiz.de/10011883109

"Dice"-sion–making under uncertainty : when can a random decision reduce risk?

Delage, Erick; Kuhn, Daniel; Wiesemann, Wolfram - In: Management science : journal of the Institute for … 65 (2019) 7, pp. 3282-3301

Persistent link: https://www.econbiz.de/10012039992

Fractional stochastic dominance in rank-dependent utility and cumulative prospect theory

Mao, Tiantian; Wang, Ruodu - In: Journal of mathematical economics 103 (2022), pp. 1-16

Persistent link: https://www.econbiz.de/10014230385

The distortion principle for insurance pricing : properties, identification and robustness

Escobar, Debora Daniela; Pflug, Georg - In: Stochastic optimization: theory and applications, (pp. 771-794). 2020

Persistent link: https://www.econbiz.de/10012290841

Risk-averse regret minimization in multi-stage stochastic programs

Poursoltani, Mehran; Delage, Erick; Georghiou, Angelos - 2021

Persistent link: https://www.econbiz.de/10012939439

On the distributional robustness of finite rational inattention models

Melo, Emerson - 2022

Persistent link: https://www.econbiz.de/10013332730

Distributionally robust Markov decision processes and their connection to risk measures

Bäuerle, Nicole; Glauner, Alexander - In: Mathematics of operations research 47 (2022) 3, pp. 1757-1780

Persistent link: https://www.econbiz.de/10013374970

Technical note: risk-averse regret minimization in multistage stochastic programs

Poursoltani, Mehran; Delage, Erick; Georghiou, Angelos - In: Operations research 72 (2024) 4, pp. 1727-1738

Persistent link: https://www.econbiz.de/10015045703

A risk measurement approach from risk-averse stochastic optimization of score functions

Righi, Marcelo Brutti; Müller, Fernanda Maria; … - In: Insurance : mathematics and economics 120 (2025), pp. 42-50

Persistent link: https://www.econbiz.de/10015431880

Robust elicitable functionals

Miao, Kathleen E.; Pesenti, Silvana M. - In: European journal of operational research : EJOR 326 (2025) 2, pp. 311-325

Persistent link: https://www.econbiz.de/10015433407