Risk measures and comonotonicity: a review
In this paper we examine and summarize properties of several well-known risk measures
that can be used in the framework of setting solvency capital requirements for a risky …
that can be used in the framework of setting solvency capital requirements for a risky …
[图书][B] Quantitative risk management: concepts, techniques and tools-revised edition
This book provides the most comprehensive treatment of the theoretical concepts and
modelling techniques of quantitative risk management. Whether you are a financial risk …
modelling techniques of quantitative risk management. Whether you are a financial risk …
[图书][B] International Series in Operations Research & Management Science
FS Hillier, CC Price - 2001 - Springer
Conic optimization is a significant and thriving research area within the optimization
community. Conic optimization is the general class of problems concerned with optimizing a …
community. Conic optimization is the general class of problems concerned with optimizing a …
[图书][B] Actuarial theory for dependent risks: measures, orders and models
The increasing complexity of insurance and reinsurance products has seen a growing
interest amongst actuaries in the modelling of dependent risks. For efficient risk …
interest amongst actuaries in the modelling of dependent risks. For efficient risk …
[图书][B] Backward stochastic differential equations with jumps and their actuarial and financial applications
Ł Delong - 2013 - Springer
A linear backward stochastic differential equation was introduced by Bismut (1973) in an
attempt to solve an optimal stochastic control problem by the maximum principle. The …
attempt to solve an optimal stochastic control problem by the maximum principle. The …
Risk measures via g-expectations
ER Gianin - Insurance: Mathematics and Economics, 2006 - Elsevier
This paper shows how g-expectations and conditional g-expectations provide some families
of static and dynamic risk measures. Conversely, some sufficient conditions for a dynamic …
of static and dynamic risk measures. Conversely, some sufficient conditions for a dynamic …
After VaR: the theory, estimation, and insurance applications of quantile‐based risk measures
K Dowd, D Blake - Journal of Risk and Insurance, 2006 - Wiley Online Library
We discuss a number of quantile‐based risk measures (QBRMs) that have recently been
developed in the financial risk and actuarial/insurance literatures. The measures considered …
developed in the financial risk and actuarial/insurance literatures. The measures considered …
[图书][B] Portfolio optimization and performance analysis
JL Prigent - 2007 - taylorfrancis.com
In answer to the intense development of new financial products and the increasing
complexity of portfolio management theory, Portfolio Optimization and Performance Analysis …
complexity of portfolio management theory, Portfolio Optimization and Performance Analysis …
Economic capital allocation derived from risk measures
We examine properties of risk measures that can be considered to be in line with some “best
practice” rules in insurance, based on solvency margins. We give ample motivation that all …
practice” rules in insurance, based on solvency margins. We give ample motivation that all …
[PDF][PDF] Dynamic convex risk measures
M Frittelli, ER Gianin - Risk measures for the 21st century, 2004 - users.mat.unimi.it
Dynamic Convex Risk Measures Page 1 Dynamic Convex Risk Measures Marco Frittelli and
Emanuela Rosazza Gianin New Risk Measures for the 21th Century, 2004 G. Szego ed., John …
Emanuela Rosazza Gianin New Risk Measures for the 21th Century, 2004 G. Szego ed., John …