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Reverse sensitivity analysis for risk modelling

Pesenti, Silvana M. - In: Risks : open access journal 10 (2022) 7, pp. 1-23

framework is model-free and allows for stresses on the output such as (a) the mean and variance, (b) any distortion risk measure … including the Value-at-Risk and Expected-Shortfall, and (c) expected utility type constraints, thus making the reverse … sensitivity analysis framework suitable for risk models. …

Persistent link: https://www.econbiz.de/10013364877

Distributional robustness, stochastic divergences, and the quadrangle of risk

Rockafellar, Ralph Tyrrell - In: Computational management science 21 (2024) 1, pp. 1-30

Persistent link: https://www.econbiz.de/10014636812

Worst-case risk measures of stop-loss and limited loss random variables under distribution uncertainty with applications to robust reinsurance

Cai, Jun; Liu, Fangda; Yin, Mingren - In: European journal of operational research : EJOR 318 (2024) 1, pp. 310-326

Persistent link: https://www.econbiz.de/10015047732

Robust elicitable functionals

Miao, Kathleen E.; Pesenti, Silvana M. - In: European journal of operational research : EJOR 326 (2025) 2, pp. 311-325

Persistent link: https://www.econbiz.de/10015433407

Distortion risk measure under parametric ambiguity

Shao, Hui; Zhang, Zhe George - In: European journal of operational research : EJOR 311 (2023) 3, pp. 1159-1172

Persistent link: https://www.econbiz.de/10014440209

Risk measures with the CxLS property

Delbaen, Freddy; Bellini, Fabio; Bignozzi, Valeria; … - In: Finance and stochastics 20 (2016) 2, pp. 433-453

Persistent link: https://www.econbiz.de/10011471250

Distributionally robust Markov decision processes and their connection to risk measures

Bäuerle, Nicole; Glauner, Alexander - In: Mathematics of operations research 47 (2022) 3, pp. 1757-1780

Persistent link: https://www.econbiz.de/10013374970

Deriving robust and globalized robust solutions of uncertain linear programs with general convex uncertainty sets

Gorissen, Bram L.; Blanc, J. P.; Hertog, Dirk den; … - In: Operations research 62 (2014) 3, pp. 672-679

Persistent link: https://www.econbiz.de/10010381843

The value of stochastic modeling in two-stage stochastic programs with cost uncertainty

Delage, Erick; Arroyo, Sharon; Ye, Yinyu - In: Operations research 62 (2014) 6, pp. 1377-1393

Persistent link: https://www.econbiz.de/10010471839

Multistage adjustable robust mixed-integer optimization via iterative splitting of the uncertainty set

Postek, Kryzsztof; Hertog, Dirk den - In: INFORMS journal on computing : JOC 28 (2016) 3, pp. 553-574

Persistent link: https://www.econbiz.de/10011539037