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Risk Measures And Capital Requirements For Processes

Citations

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Cited by:

  1. Francesca Biagini & Jean-Pierre Fouque & Marco Frittelli & Thilo Meyer-Brandis, 2015. "A Unified Approach to Systemic Risk Measures via Acceptance Sets," Papers 1503.06354, arXiv.org, revised Apr 2015.
  2. M. Kaina & L. Rüschendorf, 2009. "On convex risk measures on L p -spaces," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 69(3), pages 475-495, July.
  3. Walter Farkas & Pablo Koch-Medina & Cosimo Munari, 2014. "Beyond cash-additive risk measures: when changing the numéraire fails," Finance and Stochastics, Springer, vol. 18(1), pages 145-173, January.
  4. Pospisil, Libor & Vecer, Jan & Xu, Mingxin, 2007. "Tradable measure of risk," MPRA Paper 5059, University Library of Munich, Germany.
  5. Michail Anthropelos & Gordan Žitković, 2010. "Partial equilibria with convex capital requirements: existence, uniqueness and stability," Annals of Finance, Springer, vol. 6(1), pages 107-135, January.
  6. Beatrice Acciaio & Irina Penner, 2010. "Dynamic risk measures," Papers 1002.3794, arXiv.org.
  7. Alessandro Doldi & Marco Frittelli, 2020. "Entropy Martingale Optimal Transport and Nonlinear Pricing-Hedging Duality," Papers 2005.12572, arXiv.org, revised Sep 2021.
  8. Beatrice Acciaio & Hans Föllmer & Irina Penner, 2012. "Risk assessment for uncertain cash flows: model ambiguity, discounting ambiguity, and the role of bubbles," Finance and Stochastics, Springer, vol. 16(4), pages 669-709, October.
  9. Alessandro Doldi & Marco Frittelli & Emanuela Rosazza Gianin, 2023. "Are Shortfall Systemic Risk Measures One Dimensional?," Papers 2306.10752, arXiv.org.
  10. Walter Farkas & Pablo Koch-Medina & Cosimo Munari, 2013. "Measuring risk with multiple eligible assets," Papers 1308.3331, arXiv.org, revised Mar 2014.
  11. Laudagé, Christian & Sass, Jörn & Wenzel, Jörg, 2022. "Combining multi-asset and intrinsic risk measures," Insurance: Mathematics and Economics, Elsevier, vol. 106(C), pages 254-269.
  12. Samuel N. Cohen & Tanut Treetanthiploet, 2019. "Gittins' theorem under uncertainty," Papers 1907.05689, arXiv.org, revised Jun 2021.
  13. Tomasz R. Bielecki & Igor Cialenco & Zhao Zhang, 2010. "Dynamic Coherent Acceptability Indices and their Applications to Finance," Papers 1010.4339, arXiv.org, revised May 2011.
  14. Bannör, Karl & Kiesel, Rüdiger & Nazarova, Anna & Scherer, Matthias, 2016. "Parametric model risk and power plant valuation," Energy Economics, Elsevier, vol. 59(C), pages 423-434.
  15. Beatrice Acciaio & Hans Foellmer & Irina Penner, 2010. "Risk assessment for uncertain cash flows: Model ambiguity, discounting ambiguity, and the role of bubbles," Papers 1002.3627, arXiv.org.
  16. Nicole El Karoui & Claudia Ravanelli, 2007. "Cash Sub-additive Risk Measures and Interest Rate Ambiguity," Papers 0710.4106, arXiv.org.
  17. 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.
  18. Castaneda, Pablo, 2006. "Long Term Risk Assessment in a Defined Contribution Pension System," MPRA Paper 3347, University Library of Munich, Germany, revised 30 Apr 2007.
  19. Daniel Bartl, 2016. "Conditional nonlinear expectations," Papers 1612.09103, arXiv.org, revised Mar 2019.
  20. 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.
  21. Alessandro Doldi & Marco Frittelli & Emanuela Rosazza Gianin, 2024. "On entropy martingale optimal transport theory," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 47(1), pages 1-42, June.
  22. Marlon Moresco & M'elina Mailhot & Silvana M. Pesenti, 2023. "Uncertainty Propagation and Dynamic Robust Risk Measures," Papers 2308.12856, arXiv.org, revised Feb 2024.
  23. Roger J. A. Laeven & Mitja Stadje, 2013. "Entropy Coherent and Entropy Convex Measures of Risk," Mathematics of Operations Research, INFORMS, vol. 38(2), pages 265-293, May.
  24. Cosimo Munari, 2020. "Multi-utility representations of incomplete preferences induced by set-valued risk measures," Papers 2009.04151, arXiv.org.
  25. Zachary Feinstein & Birgit Rudloff, 2018. "Time consistency for scalar multivariate risk measures," Papers 1810.04978, arXiv.org, revised Nov 2021.
  26. repec:hum:wpaper:sfb649dp2007-010 is not listed on IDEAS
  27. Teemu Pennanen & Ari-Pekka Perkkiö, 2018. "Convex duality in optimal investment and contingent claim valuation in illiquid markets," Finance and Stochastics, Springer, vol. 22(4), pages 733-771, October.
  28. Teemu Pennanen & Ari-Pekka Perkkio, 2016. "Convex duality in optimal investment and contingent claim valuation in illiquid markets," Papers 1603.02867, arXiv.org.
  29. Zachary Feinstein & Birgit Rudloff, 2018. "Scalar multivariate risk measures with a single eligible asset," Papers 1807.10694, arXiv.org, revised Feb 2021.
  30. 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.
  31. Teemu Pennanen, 2008. "Superhedging in illiquid markets," Papers 0807.2962, arXiv.org.
  32. Wei, Linxiao & Hu, Yijun, 2014. "Coherent and convex risk measures for portfolios with applications," Statistics & Probability Letters, Elsevier, vol. 90(C), pages 114-120.
  33. 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.
  34. Detlefsen, Kai & Scandolo, Giacomo, 2005. "Conditional and dynamic convex risk measures," SFB 649 Discussion Papers 2005-006, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  35. Nicole EL KAROUI & Claudia RAVANELLI, 2008. "Cash Sub-additive Risk Measures and Interest Rate Ambiguity," Swiss Finance Institute Research Paper Series 08-09, Swiss Finance Institute.
  36. Balbás, Alejandro & Balbás, Beatriz & Heras, Antonio, 2011. "Stable solutions for optimal reinsurance problems involving risk measures," European Journal of Operational Research, Elsevier, vol. 214(3), pages 796-804, November.
  37. Balbás, Alejandro & Balbás, Beatriz & Heras, Antonio, 2009. "Optimal reinsurance with general risk measures," Insurance: Mathematics and Economics, Elsevier, vol. 44(3), pages 374-384, June.
  38. Karl-Theodor Eisele & Michael Kupper, 2016. "Asymptotically stable dynamic risk assessments," Post-Print hal-03548963, HAL.
  39. repec:hum:wpaper:sfb649dp2005-006 is not listed on IDEAS
  40. Christopher W. Miller & Insoon Yang, 2015. "Optimal Control of Conditional Value-at-Risk in Continuous Time," Papers 1512.05015, arXiv.org, revised Jan 2017.
  41. Andreas H. Hamel & Frank Heyde, 2021. "Set-Valued T -Translative Functions and Their Applications in Finance," Mathematics, MDPI, vol. 9(18), pages 1-33, September.
  42. Walter Farkas & Pablo Koch-Medina & Cosimo Munari, 2012. "Beyond cash-additive risk measures: when changing the num\'{e}raire fails," Papers 1206.0478, arXiv.org, revised Feb 2014.
  43. Michail Anthropelos & Nikolaos E. Frangos & Stylianos Z. Xanthopoulos & Athanasios N. Yannacopoulos, 2008. "On contingent claims pricing in incomplete markets: A risk sharing approach," Papers 0809.4781, arXiv.org, revised Feb 2012.
  44. Buch, Arne & Dorfleitner, Gregor & Wimmer, Maximilian, 2011. "Risk capital allocation for RORAC optimization," Journal of Banking & Finance, Elsevier, vol. 35(11), pages 3001-3009, November.
  45. Balbás, Beatriz & Heras, Antonio, 2010. "Stability of the optimal reinsurance with respect to the risk measure," DEE - Working Papers. Business Economics. WB wb100201, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa.
  46. Karl-Theodor Eisele & Michael Kupper, 2013. "Asymptotically Stable Dynamic Risk Assessments," Working Papers of LaRGE Research Center 2013-04, Laboratoire de Recherche en Gestion et Economie (LaRGE), Université de Strasbourg.
  47. Andrzej Ruszczynski & Jianing Yao, 2017. "A Dual Method For Backward Stochastic Differential Equations with Application to Risk Valuation," Papers 1701.06234, arXiv.org, revised Aug 2020.
  48. Yanhong Chen & Zachary Feinstein, 2021. "Set-Valued Dynamic Risk Measures for Processes and Vectors," Papers 2103.00905, arXiv.org, revised Nov 2021.
  49. Eisele Karl-Theodor & Kupper Michael, 2016. "Asymptotically stable dynamic risk assessments," Statistics & Risk Modeling, De Gruyter, vol. 33(1-2), pages 41-50, September.
  50. Felix-Benedikt Liebrich, 2021. "Risk sharing under heterogeneous beliefs without convexity," Papers 2108.05791, arXiv.org, revised May 2022.
  51. Maria Arduca & Cosimo Munari, 2020. "Fundamental theorem of asset pricing with acceptable risk in markets with frictions," Papers 2012.08351, arXiv.org, revised Apr 2022.
  52. Francesca Biagini & Jean-Pierre Fouque & Marco Frittelli & Thilo Meyer-Brandis, 2020. "On fairness of systemic risk measures," Finance and Stochastics, Springer, vol. 24(2), pages 513-564, April.
  53. Naomi Miller & Andrzej Ruszczyński, 2011. "Risk-Averse Two-Stage Stochastic Linear Programming: Modeling and Decomposition," Operations Research, INFORMS, vol. 59(1), pages 125-132, February.
  54. Maria Arduca & Cosimo Munari, 2023. "Fundamental theorem of asset pricing with acceptable risk in markets with frictions," Finance and Stochastics, Springer, vol. 27(3), pages 831-862, July.
  55. Ricardo Collado & Dávid Papp & Andrzej Ruszczyński, 2012. "Scenario decomposition of risk-averse multistage stochastic programming problems," Annals of Operations Research, Springer, vol. 200(1), pages 147-170, November.
  56. Michel Baes & Pablo Koch-Medina & Cosimo Munari, 2017. "Existence, uniqueness and stability of optimal portfolios of eligible assets," Papers 1702.01936, arXiv.org, revised Dec 2017.
  57. Maria Arduca & Cosimo Munari, 2021. "Risk measures beyond frictionless markets," Papers 2111.08294, arXiv.org.
  58. Roorda, Berend & Schumacher, J.M., 2007. "Time consistency conditions for acceptability measures, with an application to Tail Value at Risk," Insurance: Mathematics and Economics, Elsevier, vol. 40(2), pages 209-230, March.
  59. Fabio Bellini & Pablo Koch-Medina & Cosimo Munari & Gregor Svindland, 2018. "Law-invariant functionals on general spaces of random variables," Papers 1808.00821, arXiv.org, revised Jan 2021.
  60. Francesca Biagini & Jean-Pierre Fouque & Marco Frittelli & Thilo Meyer-Brandis, 2018. "On Fairness of Systemic Risk Measures," Papers 1803.09898, arXiv.org, revised Apr 2019.
  61. Cosimo Munari, 2021. "Multi-utility representations of incomplete preferences induced by set-valued risk measures," Finance and Stochastics, Springer, vol. 25(1), pages 77-99, January.
  62. Alessandro Doldi & Marco Frittelli, 2021. "Real-Valued Systemic Risk Measures," Mathematics, MDPI, vol. 9(9), pages 1-24, April.
  63. Michail Anthropelos & Gordan Zitkovic, 2009. "Partial Equilibria with Convex Capital Requirements: Existence, Uniqueness and Stability," Papers 0901.3318, arXiv.org.
  64. Krätschmer, Volker, 2007. "On {sigma}-additive robust representation of convex risk measures for unbounded financial positions in the presence of uncertainty about the market model," SFB 649 Discussion Papers 2007-010, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  65. Alessandro Doldi & Marco Frittelli, 2020. "Conditional Systemic Risk Measures," Papers 2010.11515, arXiv.org, revised May 2021.
  66. Sıtkı Gülten & Andrzej Ruszczyński, 2015. "Two-stage portfolio optimization with higher-order conditional measures of risk," Annals of Operations Research, Springer, vol. 229(1), pages 409-427, June.
  67. Maria Arduca & Pablo Koch-Medina & Cosimo Munari, 2019. "Dual representations for systemic risk measures based on acceptance sets," Papers 1906.10933, arXiv.org, revised Oct 2019.
  68. Marlon Moresco & Marcelo Righi & Eduardo Horta, 2020. "Minkowski gauges and deviation measures," Papers 2007.01414, arXiv.org, revised Jul 2021.
  69. W. Farkas & A. Smirnow, 2016. "Intrinsic risk measures," Papers 1610.08782, arXiv.org.
  70. Bäuerle Nicole & Mundt André, 2009. "A Bayesian approach to incorporate model ambiguity in a dynamic risk measure," Statistics & Risk Modeling, De Gruyter, vol. 26(3), pages 219-242, April.
  71. 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.
  72. Sainan Zhang & Huifu Xu, 2022. "Insurance premium-based shortfall risk measure induced by cumulative prospect theory," Computational Management Science, Springer, vol. 19(4), pages 703-738, October.
  73. Zachary Feinstein & Birgit Rudloff, 2013. "A comparison of techniques for dynamic multivariate risk measures," Papers 1305.2151, arXiv.org, revised Jan 2015.
  74. Alexander S. Cherny, 2009. "Capital Allocation And Risk Contribution With Discrete‐Time Coherent Risk," Mathematical Finance, Wiley Blackwell, vol. 19(1), pages 13-40, January.
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