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On a family of coherent measures of variability

Hu, Taizhong; Chen, Ouxiang - In: Insurance / Mathematics & economics 95 (2020), pp. 173-182

Persistent link: https://www.econbiz.de/10012420133

Large deviations for risk measures in finite mixture models

Bignozzi, Valeria; Macci, Claudio; Petrella, Lea - In: Insurance / Mathematics & economics 80 (2018), pp. 84-92

Persistent link: https://www.econbiz.de/10011872915

On a family of risk measures based on largest claims

Castaño-Martínez, A.; Pigueiras, G.; Sordo, M. A. - In: Insurance / Mathematics & economics 86 (2019), pp. 92-97

Persistent link: https://www.econbiz.de/10012058833

From duration analysis to GARCH models : an approach to systematization of quantitative methods in risk measurement

Jajuga, Krzysztof - In: Economics and business review 2 (2016) 3, pp. 7-19

Persistent link: https://www.econbiz.de/10011634951

Systematic stress tests with entropic plausibility constraints

Breuer, Thomas; Csiszár, Imre - In: Journal of banking & finance 37 (2013) 5, pp. 1552-1559

Persistent link: https://www.econbiz.de/10009729051

Set-valued shortfall and divergence risk measures

Ararat, Çağin; Hamel, Andreas; Rudloff, Birgit - In: International journal of theoretical and applied finance 20 (2017) 5, pp. 1-48

Persistent link: https://www.econbiz.de/10011733939

Entropic risk measures and their comparative statics in portfolio selection : coherence vs. convexity

Brandtner, Mario; Kürsten, Wolfgang; Rischau, Robert - In: European journal of operational research : EJOR 264 (2018) 2, pp. 707-716

Persistent link: https://www.econbiz.de/10011801916

An Ergodic BSDE Approach to Forward Entropic Risk Measures : Representation and Large-Maturity Behavior

Chong, Wing Fung - 2017

Using elements from the theory of ergodic backward stochastic differential equations (BSDE), we study the behavior of … forward entropic risk measures. We provide their general representation results (via both BSDE and convex duality) and examine … their behavior for risk positions of long maturities. We show that forward entropic risk measures converge to some constant …

Persistent link: https://www.econbiz.de/10012967225

A numerical approach to the risk capital allocation problem

Gzyl, Henryk; Mayoral, Silvia - In: Journal of risk 23 (2021) 5, pp. 55-78

Persistent link: https://www.econbiz.de/10012630870

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