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An analytical study of norms and Banach spaces induced by the entropic value-at-risk
Ahmadi-Javid, Amir; Pichler, Alois - In: Mathematics and financial economics 11 (2017) 4, pp. 527-550
Persistent link: https://www.econbiz.de/10011900598
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Entropy based risk measures
Pichler, Alois; Schlotter, Ruben - In: European journal of operational research : EJOR 285 (2020) 1, pp. 223-236
Persistent link: https://www.econbiz.de/10012239544
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Fractional risk process in insurance
Kumar, Arun; Leonenko, Nikolaj; Pichler, Alois - In: Mathematics and financial economics 14 (2020) 1, pp. 43-65
Persistent link: https://www.econbiz.de/10012239969
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The natural Banach space for version independent risk measures
Pichler, Alois - In: Insurance / Mathematics & economics 53 (2013) 2, pp. 405-415
Persistent link: https://www.econbiz.de/10010195914
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Time-consistent decisions and temporal decomposition of coherent risk functionals
Pflug, Georg; Pichler, Alois - In: Mathematics of operations research 41 (2016) 2, pp. 682-699
Persistent link: https://www.econbiz.de/10011520518