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Alternative measures for modeling risk and expected utility theory : (risk adjustment, measurement and attitude)

Seber, Akin - In: International journal of economics and finance 6 (2014) 9, pp. 151-157

Persistent link: https://www.econbiz.de/10010417168

Interplay of subexponential and dependent insurance and financial risks

Chen, Yiqing - In: Insurance / Mathematics & economics 77 (2017), pp. 78-83

Persistent link: https://www.econbiz.de/10011783904

Probabilistic aspects of financial risk

Föllmer, Hans - 2000

Problems arising in Finance have become a significant source of new developments in Stochastic Analysis. We discuss some recent case studies, in particular some decomposition and representation theorems which are motivated by problems of hedging derivatives and of intertemporal consumption choice.

Persistent link: https://www.econbiz.de/10009612020

(Simple) ΔCoVaR bounds

Mercadier, Mathieu; Strobel, Frank - In: Applied economics letters 30 (2023) 14, pp. 1874-1881

Persistent link: https://www.econbiz.de/10014305372

Uniqueness of convex-ranged probabilities and applications to risk measures and games

Amarante, Massimiliano; Liebrich, Felix-Benedikt; … - In: Mathematics of operations research 50 (2025) 1, pp. 743-763

Persistent link: https://www.econbiz.de/10015211767

Probability equivalent level for CoVaR and VaR

Ortega-Jiménez, Patricia; Pellerey, Franco; Sordo, … - In: Insurance : mathematics and economics 115 (2024), pp. 22-35

Persistent link: https://www.econbiz.de/10015066724

On multivariate extensions of the conditional value-at-risk measure

Di Bernardino, Elena; Fernández-Ponce, J. M.; … - In: Insurance / Mathematics & economics 61 (2015), pp. 1-16

Persistent link: https://www.econbiz.de/10010515946

A class of generalised hyper-elliptical distributions and their applications in computing conditional tail risk measures

Ignatieva, Ekaterina; Landsman, Zinoviy - In: Insurance / Mathematics & economics 101 (2021) 2, pp. 437-465

Persistent link: https://www.econbiz.de/10012793936

Worst-case risk measures of stop-loss and limited loss random variables under distribution uncertainty with applications to robust reinsurance

Cai, Jun; Liu, Fangda; Yin, Mingren - In: European journal of operational research : EJOR 318 (2024) 1, pp. 310-326

Persistent link: https://www.econbiz.de/10015047732

Optimal investment and reinsurance for an insurer under Markov-modulated financial market

Xu, Lin; Zhang, Liming; Yao, Dingjun - In: Insurance / Mathematics & economics 74 (2017), pp. 7-19

Persistent link: https://www.econbiz.de/10011712331