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Coherent and convex monetary risk measures for unbounded càdlàg processes

Citations

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Cited by:

  1. Roorda, Berend & Schumacher, J.M., 2011. "The strictest common relaxation of a family of risk measures," Insurance: Mathematics and Economics, Elsevier, vol. 48(1), pages 29-34, January.
  2. Pelsser, Antoon & Salahnejhad Ghalehjooghi, Ahmad, 2016. "Time-consistent actuarial valuations," Insurance: Mathematics and Economics, Elsevier, vol. 66(C), pages 97-112.
  3. Ji, Ronglin & Shi, Xuejun & Wang, Shijie & Zhou, Jinming, 2019. "Dynamic risk measures for processes via backward stochastic differential equations," Insurance: Mathematics and Economics, Elsevier, vol. 86(C), pages 43-50.
  4. Fasen Vicky & Svejda Adela, 2012. "Time consistency of multi-period distortion measures," Statistics & Risk Modeling, De Gruyter, vol. 29(2), pages 133-153, June.
  5. Andreas H Hamel, 2018. "Monetary Measures of Risk," Papers 1812.04354, arXiv.org.
  6. Elisa Mastrogiacomo & Emanuela Rosazza Gianin, 2015. "Time-consistency of cash-subadditive risk measures," Papers 1512.03641, arXiv.org.
  7. Bayraktar, Erhan & Young, Virginia R., 2008. "Maximizing utility of consumption subject to a constraint on the probability of lifetime ruin," Finance Research Letters, Elsevier, vol. 5(4), pages 204-212, December.
  8. Leitner Johannes, 2007. "Pricing and hedging with globally and instantaneously vanishing risk," Statistics & Risk Modeling, De Gruyter, vol. 25(4), pages 311-332, October.
  9. Tomasz R. Bielecki & Igor Cialenco & Marcin Pitera, 2014. "A unified approach to time consistency of dynamic risk measures and dynamic performance measures in discrete time," Papers 1409.7028, arXiv.org, revised Sep 2017.
  10. Hirbod Assa & Manuel Morales & Hassan Omidi Firouzi, 2016. "On the Capital Allocation Problem for a New Coherent Risk Measure in Collective Risk Theory," Risks, MDPI, vol. 4(3), pages 1-20, August.
  11. Irina Penner & Anthony Reveillac, 2013. "Risk measures for processes and BSDEs," Papers 1304.4853, arXiv.org.
  12. Keita Owari, 2012. "Maximum Lebesgue Extension Of Convex Risk Measures," CARF F-Series CARF-F-287, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
  13. Daniel Bartl, 2016. "Conditional nonlinear expectations," Papers 1612.09103, arXiv.org, revised Mar 2019.
  14. Kovacevic Raimund M., 2012. "Conditional risk and acceptability mappings as Banach-lattice valued mappings," Statistics & Risk Modeling, De Gruyter, vol. 29(1), pages 1-18, March.
  15. Traian A. Pirvu & Gordan Žitković, 2009. "Maximizing The Growth Rate Under Risk Constraints," Mathematical Finance, Wiley Blackwell, vol. 19(3), pages 423-455, July.
  16. Yanhong Chen & Zachary Feinstein, 2022. "Set-valued dynamic risk measures for processes and for vectors," Finance and Stochastics, Springer, vol. 26(3), pages 505-533, July.
  17. Acciaio, Beatrice & Föllmer, Hans & Penner, Irina, 2012. "Risk assessment for uncertain cash flows: model ambiguity, discounting ambiguity, and the role of bubbles," LSE Research Online Documents on Economics 50118, London School of Economics and Political Science, LSE Library.
  18. Babacar Seck & Robert J. Elliott, 2021. "Regime Switching Entropic Risk Measures on Crude Oil Pricing," Papers 2112.13041, arXiv.org.
  19. Cheridito, Patrick & Horst, Ulrich & Kupper, Michael & Pirvu, Traian A., 2011. "Equilibrium pricing in incomplete markets under translation invariant preferences," SFB 649 Discussion Papers 2011-083, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  20. Keita Owari, 2013. "Maximum Lebesgue Extension of Monotone Convex Functions," CARF F-Series CARF-F-315, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
  21. repec:hal:wpaper:hal-00814702 is not listed on IDEAS
  22. Irina Penner & Anthony Réveillac, 2015. "Risk measures for processes and BSDEs," Finance and Stochastics, Springer, vol. 19(1), pages 23-66, January.
  23. Berend Roorda & Johannes M. Schumacher, 2016. "Weakly time consistent concave valuations and their dual representations," Finance and Stochastics, Springer, vol. 20(1), pages 123-151, January.
  24. Roorda Berend & Schumacher Hans, 2013. "Membership conditions for consistent families of monetary valuations," Statistics & Risk Modeling, De Gruyter, vol. 30(3), pages 255-280, August.
  25. Yanhong Chen & Zachary Feinstein, 2021. "Set-Valued Dynamic Risk Measures for Processes and Vectors," Papers 2103.00905, arXiv.org, revised Nov 2021.
  26. Elisa Mastrogiacomo & Emanuela Rosazza Gianin, 2019. "Time-consistency of risk measures: how strong is such a property?," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 42(1), pages 287-317, June.
  27. Nakano Yumiharu, 2006. "Mean-risk optimization for index tracking," Statistics & Risk Modeling, De Gruyter, vol. 24(1/2006), pages 1-19, July.
  28. Engsner Hampus & Lindskog Filip, 2020. "Continuous-time limits of multi-period cost-of-capital margins," Statistics & Risk Modeling, De Gruyter, vol. 37(3-4), pages 79-106, July.
  29. Babacar Seck & Robert J. Elliott & Jean-Pierre Gueyie, 2013. "Computational Dynamic Market Risk Measures in Discrete Time Setting," Papers 1306.5705, arXiv.org.
  30. Cossette, Hélène & Marceau, Etienne & Trufin, Julien & Zuyderhoff, Pierre, 2020. "Ruin-based risk measures in discrete-time risk models," Insurance: Mathematics and Economics, Elsevier, vol. 93(C), pages 246-261.
  31. Marco Frittelli & Giacomo Scandolo, 2006. "Risk Measures And Capital Requirements For Processes," Mathematical Finance, Wiley Blackwell, vol. 16(4), pages 589-612, October.
  32. Domenico Cuoco & Hua He & Sergei Isaenko, 2008. "Optimal Dynamic Trading Strategies with Risk Limits," Operations Research, INFORMS, vol. 56(2), pages 358-368, April.
  33. Irina Penner & Anthony Réveillac, 2014. "Risk measures for processes and BSDEs," Post-Print hal-00814702, HAL.
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