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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

Sensitivity of risk measures with respect to the normal approximation of total claim distributions

Krätschmer, Volker; Zähle, Henryk - In: Insurance 49 (2011) 3, pp. 335-344

Persistent link: https://www.econbiz.de/10009404714

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

A concept of copula robustness and its applications in quantitative risk management

Zähle, Henryk - In: Finance and Stochastics 26 (2022) 4, pp. 825-875

In financial and actuarial applications, marginal risks and their dependence structure are often modelled separately. While it is sometimes reasonable to assume that the marginal distributions are ‘known’, it is usually quite involved to obtain information on the copula (dependence...

Persistent link: https://www.econbiz.de/10015327710

Rates of almost sure convergence of plug-in estimates for distortion risk measures

Zähle, Henryk - In: Metrika 74 (2011) 2, pp. 267-285

Persistent link: https://www.econbiz.de/10009324800

Bootstrap consistency and bias correction in the nonparametric estimation of risk measures of collective risks

Lauer, Alexandra; Zähle, Henryk - In: Insurance 74 (2017), pp. 99-108

Persistent link: https://www.econbiz.de/10011712409

Optimal stopping under uncertainty in drift and jump intensity

Krätschmer, Volker; Ladkau, Marcel; Laeven, Roger J. A.; … - In: Mathematics of operations research 43 (2018) 4, pp. 1177-1209

Persistent link: https://www.econbiz.de/10011956978

Optimal stopping under probability distortions

Belomestny, Denis; Krätschmer, Volker - In: Mathematics of operations research 42 (2017) 3, pp. 806-833

Persistent link: https://www.econbiz.de/10011742531