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Comparative and qualitative robustness for law-invariant risk measures
Krätschmer, Volker; Schied, Alexander; Zähle, Henryk - In: Finance and stochastics 18 (2014) 2, pp. 271-295
Persistent link: https://www.econbiz.de/10010340784
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Sensitivity of risk measures with respect to the normal approximation of total claim distributions
Krätschmer, Volker; Zähle, Henryk - In: Insurance / Mathematics & economics 49 (2011) 3, pp. 335-344
Persistent link: https://www.econbiz.de/10009404714
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A concept of copula robustness and its applications in quantitative risk management
Zähle, Henryk - In: Finance and stochastics 26 (2022) 4, pp. 825-875
Persistent link: https://www.econbiz.de/10013440253
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Robust representation of convex risk measures by probability measures
Krätschmer, Volker - In: Finance and stochastics 9 (2005) 4, pp. 597-608
Persistent link: https://www.econbiz.de/10003133313
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Dynamic semiparametric factor models in risk neutral density estimation
Giacomini, Enzo; Härdle, Wolfgang; Krätschmer, Volker - In: Advances in statistical analysis : AStA ; a journal of … 93 (2009) 4, pp. 387-402
Persistent link: https://www.econbiz.de/10003910560