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On {sigma}-additive robust representation of convex risk measures for unbounded financial positions in the presence of uncertainty about the market model

Krätschmer, Volker (contributor) - 2007

Persistent link: https://www.econbiz.de/10003422987

On {sigma}-additive robust representation of convex risk measures for unbounded financial positions in the presence of uncertainty about the market model

Krätschmer, Volker - 2007

Persistent link: https://www.econbiz.de/10010263678

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

Krätschmer, Volker; Zähle, Henryk - 2010

A simple and commonly used method to approximate the total claim distribution of a (possible weakly dependent) insurance collective is the normal approximation. In this article, we investigate the error made when the normal approximation is plugged in a fairly general distribution-invariant risk...

Persistent link: https://www.econbiz.de/10010270712

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

Krätschmer, Volker; Zähle, Henryk - 2010

Persistent link: https://www.econbiz.de/10003973663

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

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

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

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

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