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Time consistency of dynamic risk measures
Shapiro, Alexander - In: Operations research letters 40 (2012) 6, pp. 436-439
Persistent link: https://www.econbiz.de/10009716583
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Vector-valued coherent risk measure processes
Tahar, Imen Ben; Lépinette, Emmanuel - In: International journal of theoretical and applied finance 17 (2014) 2, pp. 1-28
Persistent link: https://www.econbiz.de/10010363907
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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
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Kusuoka representation of higher order dual risk measures
Dentcheva, Darinka; Penev, Spiridon; Ruszczyński, … - 2010
Persistent link: https://www.econbiz.de/10008760335
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To split or not to split : capital allocation with convex risk measures
Tsanakas, Andreas - In: Insurance / Mathematics & economics 44 (2009) 2, pp. 268-277
Persistent link: https://www.econbiz.de/10009517638
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Lebesgue property for convex risk measures on Orlicz spaces
Orihuela, J.; Ruiz Galán, M. - In: Mathematics and financial economics 6 (2012) 1, pp. 15-35
Persistent link: https://www.econbiz.de/10009544188
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General dual measures of riskiness
Schulze, Klaas - In: Theory and decision : an international journal for … 78 (2015) 2, pp. 289-304
Persistent link: https://www.econbiz.de/10010513819
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Essays on dual risk measures and the asymptotic term structure
Schulze, Klaas (contributor) - 2009
Persistent link: https://www.econbiz.de/10003872174
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On dynamic coherent and convex risk measures : risk optimal behavior and information gains
Engelage, Daniel (contributor) - 2009
Persistent link: https://www.econbiz.de/10003872175
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On convex risk measures on Lp-spaces
Kaina, M.; Rüschendorf, Ludger - In: Mathematical methods of operations research 69 (2009) 3, pp. 475-495
Persistent link: https://www.econbiz.de/10003858273