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Risk measures with comonotonic subadditivity or convexity and respecting stochastic orders

Citations

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Cited by:

  1. Jaume Belles‐Sampera & Montserrat Guillén & Miguel Santolino, 2014. "Beyond Value‐at‐Risk: GlueVaR Distortion Risk Measures," Risk Analysis, John Wiley & Sons, vol. 34(1), pages 121-134, January.
  2. Guangyan Jia & Jianming Xia & Rongjie Zhao, 2020. "Monetary Risk Measures," Papers 2012.06751, arXiv.org.
  3. Yanhong Chen & Yijun Hu, 2019. "Set-Valued Law Invariant Coherent And Convex Risk Measures," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 22(03), pages 1-18, May.
  4. Steven Kou & Xianhua Peng, 2014. "On the Measurement of Economic Tail Risk," Papers 1401.4787, arXiv.org, revised Aug 2015.
  5. Grigorova Miryana, 2014. "Stochastic dominance with respect to a capacity and risk measures," Statistics & Risk Modeling, De Gruyter, vol. 31(3-4), pages 1-37, December.
  6. Steven Kou & Xianhua Peng & Chris C. Heyde, 2013. "External Risk Measures and Basel Accords," Mathematics of Operations Research, INFORMS, vol. 38(3), pages 393-417, August.
  7. Miryana Grigorova, 2011. "Stochastic dominance with respect to a capacity and risk measures," Working Papers hal-00639667, HAL.
  8. Gilles Boevi Koumou & Georges Dionne, 2022. "Coherent Diversification Measures in Portfolio Theory: An Axiomatic Foundation," Risks, MDPI, vol. 10(11), pages 1-19, October.
  9. Cai, Jun & Liu, Haiyan & Wang, Ruodu, 2017. "Pareto-optimal reinsurance arrangements under general model settings," Insurance: Mathematics and Economics, Elsevier, vol. 77(C), pages 24-37.
  10. Goovaerts, Marc & Linders, Daniël & Van Weert, Koen & Tank, Fatih, 2012. "On the interplay between distortion, mean value and Haezendonck–Goovaerts risk measures," Insurance: Mathematics and Economics, Elsevier, vol. 51(1), pages 10-18.
  11. Wentao Hu & Cuixia Chen & Yufeng Shi & Ze Chen, 2022. "A Tail Measure With Variable Risk Tolerance: Application in Dynamic Portfolio Insurance Strategy," Methodology and Computing in Applied Probability, Springer, vol. 24(2), pages 831-874, June.
  12. Gianni Bosi & Magalì Zuanon, 2012. "A note on the axiomatization of Wang premium principle by means of continuity considerations," Economics Bulletin, AccessEcon, vol. 32(4), pages 3158-3165.
  13. Jaume Belles-Sampera & Montserrat Guillén & Miguel Santolino, 2013. "“Beyond Value-at-Risk: GlueVaR Distortion Risk Measures”," IREA Working Papers 201302, University of Barcelona, Research Institute of Applied Economics, revised Feb 2013.
  14. Ghossoub Mario & Principi Giulio & Stanca Lorenzo, 2023. "A Nonlinear Sandwich Theorem," Working papers 081, Department of Economics and Statistics (Dipartimento di Scienze Economico-Sociali e Matematico-Statistiche), University of Torino.
  15. Asimit, Alexandru V. & Bignozzi, Valeria & Cheung, Ka Chun & Hu, Junlei & Kim, Eun-Seok, 2017. "Robust and Pareto optimality of insurance contracts," European Journal of Operational Research, Elsevier, vol. 262(2), pages 720-732.
  16. Grigorova Miryana, 2014. "Stochastic orderings with respect to a capacity and an application to a financial optimization problem," Statistics & Risk Modeling, De Gruyter, vol. 31(2), pages 1-31, June.
  17. Steven Kou & Xianhua Peng, 2016. "On the Measurement of Economic Tail Risk," Operations Research, INFORMS, vol. 64(5), pages 1056-1072, October.
  18. Yuan, Hongmin & Jiang, Long & Tian, Dejian, 2020. "Representation theorems for WVaR with respect to a capacity," Statistics & Probability Letters, Elsevier, vol. 158(C).
  19. Xia Han & Qiuqi Wang & Ruodu Wang & Jianming Xia, 2021. "Cash-subadditive risk measures without quasi-convexity," Papers 2110.12198, arXiv.org, revised Mar 2022.
  20. Valeria Bignozzi & Matteo Burzoni & Cosimo Munari, 2020. "Risk Measures Based on Benchmark Loss Distributions," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 87(2), pages 437-475, June.
  21. Cont Rama & Deguest Romain & He Xue Dong, 2013. "Loss-based risk measures," Statistics & Risk Modeling, De Gruyter, vol. 30(2), pages 133-167, June.
  22. Rama Cont & Romain Deguest & Xuedong He, 2011. "Loss-Based Risk Measures," Papers 1110.1436, arXiv.org, revised Apr 2013.
  23. Rama Cont & Romain Deguest & Xuedong He, 2011. "Loss-Based Risk Measures," Working Papers hal-00629929, HAL.
  24. Tiexin Guo, 2010. "Recent progress in random metric theory and its applications to conditional risk measures," Papers 1006.0697, arXiv.org, revised Mar 2011.
  25. Moresco, Marlon Ruoso & Righi, Marcelo Brutti, 2022. "On the link between monetary and star-shaped risk measures," Statistics & Probability Letters, Elsevier, vol. 184(C).
  26. Marlon Moresco & Marcelo Brutti Righi, 2021. "On the link between monetary and star-shaped risk measures," Papers 2108.13500, arXiv.org.
  27. Jaume Belles-Sampera & Montserrat Guillén & Miguel Santolino, 2013. "“The use of flexible quantile-based measures in risk assessment”," IREA Working Papers 201323, University of Barcelona, Research Institute of Applied Economics, revised Dec 2013.
  28. Labopin-Richard T. & Gamboa F. & Garivier A. & Iooss B., 2016. "Bregman superquantiles. Estimation methods and applications," Dependence Modeling, De Gruyter, vol. 4(1), pages 1-33, March.
  29. Weber, Stefan, 2018. "Solvency II, or how to sweep the downside risk under the carpet," Insurance: Mathematics and Economics, Elsevier, vol. 82(C), pages 191-200.
  30. Tomer Shushi, 2018. "Towards a Topological Representation of Risks and Their Measures," Risks, MDPI, vol. 6(4), pages 1-11, November.
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