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On convex risk measures on L p -spaces

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Cited by:

  1. Righi, Marcelo Brutti & Müller, Fernanda Maria & Moresco, Marlon Ruoso, 2020. "On a robust risk measurement approach for capital determination errors minimization," Insurance: Mathematics and Economics, Elsevier, vol. 95(C), pages 199-211.
  2. Massoomeh Rahsepar & Foivos Xanthos, 2020. "On the extension property of dilatation monotone risk measures," Papers 2002.11865, arXiv.org.
  3. Andreas Haier & Ilya Molchanov & Michael Schmutz, 2015. "Intragroup transfers, intragroup diversification and their risk assessment," Papers 1511.06320, arXiv.org, revised Nov 2016.
  4. Marcelo Brutti Righi, 2019. "A composition between risk and deviation measures," Annals of Operations Research, Springer, vol. 282(1), pages 299-313, November.
  5. Furman, Edward & Wang, Ruodu & Zitikis, Ričardas, 2017. "Gini-type measures of risk and variability: Gini shortfall, capital allocations, and heavy-tailed risks," Journal of Banking & Finance, Elsevier, vol. 83(C), pages 70-84.
  6. A. Ahmadi-Javid, 2012. "Entropic Value-at-Risk: A New Coherent Risk Measure," Journal of Optimization Theory and Applications, Springer, vol. 155(3), pages 1105-1123, December.
  7. Cascos Fernández, Ignacio & Molchanov, Ilya, 2013. "Multivariate risk measures : a constructive approach based on selections," DES - Working Papers. Statistics and Econometrics. WS ws130101, Universidad Carlos III de Madrid. Departamento de Estadística.
  8. Claus, Matthias, 2022. "Existence of solutions for a class of bilevel stochastic linear programs," European Journal of Operational Research, Elsevier, vol. 299(2), pages 542-549.
  9. Barski Michał, 2016. "On the shortfall risk control: A refinement of the quantile hedging method," Statistics & Risk Modeling, De Gruyter, vol. 32(2), pages 125-141, March.
  10. Anastasis Kratsios, 2019. "Partial Uncertainty and Applications to Risk-Averse Valuation," Papers 1909.13610, arXiv.org, revised Oct 2019.
  11. Niushan Gao & Denny Leung & Cosimo Munari & Foivos Xanthos, 2018. "Fatou property, representations, and extensions of law-invariant risk measures on general Orlicz spaces," Finance and Stochastics, Springer, vol. 22(2), pages 395-415, April.
  12. Niushan Gao & Denny H. Leung & Cosimo Munari & Foivos Xanthos, 2017. "Fatou Property, representations, and extensions of law-invariant risk measures on general Orlicz spaces," Papers 1701.05967, arXiv.org, revised Sep 2017.
  13. De Franco, Carmine & Tankov, Peter, 2011. "Portfolio insurance under a risk-measure constraint," Insurance: Mathematics and Economics, Elsevier, vol. 49(3), pages 361-370.
  14. Emmanuel Lepinette & Ilya Molchanov, 2016. "Risk Arbitrage and Hedging to Acceptability under Transaction Costs," Papers 1605.07884, arXiv.org, revised Apr 2020.
  15. Samuel Solgon Santos & Marlon Ruoso Moresco & Marcelo Brutti Righi & Eduardo de Oliveira Horta, 2023. "A note on the induction of comonotonic additive risk measures from acceptance sets," Papers 2307.04647, arXiv.org, revised Jul 2023.
  16. 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.
  17. Haier Andreas & Molchanov Ilya, 2019. "Multivariate risk measures in the non-convex setting," Statistics & Risk Modeling, De Gruyter, vol. 36(1-4), pages 25-35, December.
  18. Emmanuel Lepinette & Duc Thinh Vu, 2024. "Coherent Risk Measure on $L^0$: NA Condition, Pricing and Dual Representation," Papers 2405.06764, arXiv.org.
  19. Ilya Molchanov & Anja Mühlemann, 2021. "Nonlinear expectations of random sets," Finance and Stochastics, Springer, vol. 25(1), pages 5-41, January.
  20. Marcelo Righi, 2024. "Optimal hedging with variational preferences under convex risk measures," Papers 2407.03431, arXiv.org, revised Oct 2024.
  21. Jun Zhao & Emmanuel Lépinette & Peibiao Zhao, 2019. "Pricing under dynamic risk measures," Post-Print hal-02135232, HAL.
  22. Panagiotis Xidonas & Christos E. Kountzakis & Christis Hassapis & Christos Staikouras, 2016. "RAROC in portfolio optimization," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 3(03), pages 1-14, September.
  23. Ludovic Tangpi, 2018. "Efficient hedging under ambiguity in continuous time," Papers 1812.10876, arXiv.org, revised Mar 2019.
  24. Pitera, Marcin & Schmidt, Thorsten, 2018. "Unbiased estimation of risk," Journal of Banking & Finance, Elsevier, vol. 91(C), pages 133-145.
  25. Ilya Molchanov & Anja Muhlemann, 2019. "Nonlinear expectations of random sets," Papers 1903.04901, arXiv.org.
  26. Dorinel Bastide & Stéphane Crépey & Samuel Drapeau & Mekonnen Tadese, 2022. "Derivatives Risks as Costs in a One-Period Network Model," Post-Print hal-03910144, HAL.
  27. Christos E. Kountzakis & Damiano Rossello, 2024. "Risk Measures’ Duality on Ordered Linear Spaces," Mathematics, MDPI, vol. 12(8), pages 1-15, April.
  28. Bellini, Fabio & Bignozzi, Valeria & Puccetti, Giovanni, 2018. "Conditional expectiles, time consistency and mixture convexity properties," Insurance: Mathematics and Economics, Elsevier, vol. 82(C), pages 117-123.
  29. Marcelo Brutti Righi & Fernanda Maria Muller & Marlon Ruoso Moresco, 2022. "A risk measurement approach from risk-averse stochastic optimization of score functions," Papers 2208.14809, arXiv.org, revised May 2023.
  30. Francesca Centrone & Emanuela Rosazza Gianin, 2025. "Capital Allocation Rules and Generalized Collapse to the Mean: Theory and Practice," Mathematics, MDPI, vol. 13(6), pages 1-14, March.
  31. Mathieu Cambou & Damir Filipović, 2018. "Replicating portfolio approach to capital calculation," Finance and Stochastics, Springer, vol. 22(1), pages 181-203, January.
  32. Hongjun Ha & Daniel Bauer, 2022. "A least-squares Monte Carlo approach to the estimation of enterprise risk," Finance and Stochastics, Springer, vol. 26(3), pages 417-459, July.
  33. Andreas Haier & Ilya Molchanov, 2019. "Multivariate risk measures in the non-convex setting," Papers 1902.00766, arXiv.org, revised Sep 2019.
  34. Xia Han & Ruodu Wang & Qinyu Wu, 2023. "Monotonic mean-deviation risk measures," Papers 2312.01034, arXiv.org, revised Aug 2024.
  35. Marcelo Righi, 2024. "A note on robust convex risk measures," Papers 2406.12999, arXiv.org, revised Feb 2025.
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