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Risk measures with comonotonic subadditivity or convexity and respecting sotchastic orders
Song, Yongsheng; Yan, Jia-an - In: Insurance / Mathematics & economics 45 (2009) 3, pp. 459-465
Persistent link: https://www.econbiz.de/10009517548
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Nonlinear expectations, nonlinear evaluations and risk measures
Peng, Shige - In: Stochastic methods in finance : lectures given at the …, (pp. 165-253). 2004
Persistent link: https://www.econbiz.de/10002526468
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An optimal insurance design problem under Knightian uncertainty
Bernard, Carole; Ji, Shaolin; Tian, Weidong - In: Decisions in economics and finance : DEF ; a journal of … 36 (2013) 2, pp. 99-124
Persistent link: https://www.econbiz.de/10010195629
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Optimal learning under robustness and time-consistency
Epstein, Larry G.; Ji, Shaolin - In: Operations research 70 (2022) 3, pp. 1317-1329
Persistent link: https://www.econbiz.de/10013366075
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Improving value-at-risk prediction under model uncertainty
Peng, Shige; Yang, Shuzhen; Yao, Jianfeng - In: Journal of financial econometrics 21 (2023) 1, pp. 228-259
Persistent link: https://www.econbiz.de/10013542865