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Entropy based risk measures

Pichler, Alois; Schlotter, Ruben - In: European journal of operational research : EJOR 285 (2020) 1, pp. 223-236

Persistent link: https://www.econbiz.de/10012239544

Focussed selection of the claim severity distribution

Wang, Yinzhi; Hobæk Haff, Ingrid - In: Scandinavian actuarial journal 2019 (2019) 2, pp. 129-142

Persistent link: https://www.econbiz.de/10012194941

Surplus-invariant risk measures

Gao, Niushan; Munari, Cosimo-Andrea - In: Mathematics of operations research 45 (2020) 4, pp. 1342-1370

Persistent link: https://www.econbiz.de/10012320322

Application of duration measure in quantifying the sensitivity of project returns to changes in discount rates

Yousefi, Vahidreza; Yakhchali, Siamak Haji; … - In: Administrative Sciences : open access journal 9 (2019) 1/13, pp. 1-14

relationship between these factors is nonlinear which reflects the great importance of investment on appropriate risk management …

Persistent link: https://www.econbiz.de/10012126909

Market-risk optimization among the developed and emerging markets with cvar measure and copula simulation

Trabelsi, Nader; Tiwari, Aviral Kumar - In: Risks : open access journal 7 (2019) 3/78, pp. 1-20

In this paper, the generalized Pareto distribution (GPD) copula approach is utilized to solve the conditional value-at-risk …-linear correlation dependence structure, (ii) Pareto tails to capture the estimates of the parametric Pareto lower tail, the non …-parametric kernel-smoothed interior and the parametric Pareto upper tail and (iii) Value-at-Risk (VaR) to quantify risk measure. The …

Persistent link: https://www.econbiz.de/10012127555

Extended Gini-type measures of risk and variability

Berkhouch, Mohammed; Lakhnati, Ghizlane; Righi, Marcelo … - In: Applied mathematical finance 25 (2018) 3/4, pp. 295-314

Persistent link: https://www.econbiz.de/10012128954

Farinelli and Tibiletti ratio and stochastic dominance

Guo, Xu; Niu, Cuizhen; Wong, Wing Keung - In: Risk management : a journal of risk, crisis and disaster 21 (2019) 3, pp. 201-213

Persistent link: https://www.econbiz.de/10012063313

Fatou property, representations, and extensions of law-invariant risk measures on general Orlicz spaces

Gao, Niushan; Leung, Denny H.; Munari, Cosimo-Andrea; … - In: Finance and stochastics 22 (2018) 2, pp. 395-415

Persistent link: https://www.econbiz.de/10011945798

Dual representations for systemic risk measures based on acceptance sets

Arduca, Maria; Koch Medina, Pablo; Munari, Cosimo-Andrea - In: Mathematics and financial economics 15 (2021) 1, pp. 155-184

Persistent link: https://www.econbiz.de/10012433636

Analysis of risk measures in multiobjective optimization portfolios with cardinality constraint

Cardoso, Rodrigo T. N.; Barroso, Bruno Cândido; … - In: Revista Brasileira de Finanças : RBFin 17 (2019) 3, pp. 26-46

Persistent link: https://www.econbiz.de/10012221265