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~subject:"Risk measure"
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Risk measure
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Klüppelberg, Claudia
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2
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ECONIS (ZBW)
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1
Risk management with extreme value theory
Klüppelberg, Claudia
-
2002
Persistent link: https://www.econbiz.de/10001745767
Saved in:
2
On the performance of the minimum VAR portfolio
Durand, Robert B.
;
Gould, John
;
Maller, Ross A.
- In:
The European journal of finance
17
(
2011
)
7/8
,
pp. 553-576
Persistent link: https://www.econbiz.de/10009509846
Saved in:
3
Optimal portfolios with bounded capital at risk
Emmer, Susanne
;
Klüppelberg, Claudia
;
Korn, Ralf
- In:
Mathematical finance : an international journal of …
11
(
2001
)
4
,
pp. 365-384
Persistent link: https://www.econbiz.de/10001620446
Saved in:
4
Optimal portfolios when stock prices follow an exponential Lévy process
Emmer, Susanne
;
Klüppelberg, Claudia
- In:
Finance and stochastics
8
(
2004
)
1
,
pp. 17-44
Persistent link: https://www.econbiz.de/10001910678
Saved in:
5
Optimal portfolios with bounded value-at-risk
Klüppelberg, Claudia
;
Korn, Ralf
-
1998
Persistent link: https://www.econbiz.de/10000682685
Saved in:
6
Approximationen erster Ordnung für operationelle Risiken unter Abhängigkeiten
Böcker, Klaus
;
Klüppelberg, Claudia
- In:
Risikomanagement und kapitalmarktorientierte …
,
(pp. 403-420)
.
2009
Persistent link: https://www.econbiz.de/10003861248
Saved in:
7
Optimal consumption and investment with bounded downside risk for power utility functions
Klüppelberg, Claudia
;
Pergamenchtchikov, Serguei
- In:
Optimality and risk - modern trends in mathematical …
,
(pp. 133-170)
.
2009
Persistent link: https://www.econbiz.de/10003948439
Saved in:
8
Conditional risk measures in a bipartite market structure
Kley, Oliver
;
Klüppelberg, Claudia
;
Reinert, Gesine
- In:
Scandinavian actuarial journal
(
2018
)
4
,
pp. 328-355
Persistent link: https://www.econbiz.de/10011881106
Saved in:
9
Risk in large claims insurance market with bipartite graph structure
Kley, Oliver
;
Klüppelberg, Claudia
;
Reinert, Gesine
- In:
Operations research
64
(
2016
)
5
,
pp. 1159-1176
Persistent link: https://www.econbiz.de/10011594678
Saved in:
10
Financial risk measures for a network of individual agents holding portfolios of light-tailed objects
Klüppelberg, Claudia
;
Seifert, Miriam
- In:
Finance and stochastics
23
(
2019
)
4
,
pp. 795-826
Persistent link: https://www.econbiz.de/10012114659
Saved in:
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