Results 11 to 20 of about 73 (68)
The competitive firm under price uncertainty: the role of information and hedging [PDF]
, 2007 L21, L23, L25, 91B24, 91B26, 91B30, 91B38, 91B44,
Bernhard Eckwert +3 more
core +1 more source
Optimal risk sharing with non-monotone monetary functionals [PDF]
, 2007 Risk measures, Convex duality, Risk sharing, D81, G22, 91B30, 46N10, 91B28,
Acciaio, Beatrice, Beatrice Acciaio
core +1 more source
Optimal Surplus-dependent Reinsurance under Regime-Switching in a Brownian Risk Model [PDF]
, 2021 Eisenberg J, Fabrykowski L, Schmeck MD. Optimal Surplus-dependent Reinsurance under Regime-Switching in a Brownian Risk Model. Center for Mathematical Economics Working Papers. Vol 648. Bielefeld: Center for Mathematical Economics; 2021.In this paper, we
Maren Diane Schmeck +5 more
core +1 more source
Multivariate risks and depth-trimmed regions [PDF]
, 2006 Acceptance set, Cone, Depth-trimmed region, Multivariate risk, Risk measure, 91B30, 91B82, 60D05, 62H99, C60, C61,
Molchanov, Ilya +4 more
core +2 more sources
On Conditional Value at Risk (CoVaR) for tail-dependent copulas
Dependence Modeling, 2017 The paper deals with Conditional Value at Risk (CoVaR) for copulas with nontrivial tail dependence. We show that both in the standard and the modified settings, the tail dependence function determines the limiting properties of CoVaR as the conditioning ...
Jaworski Piotr
doaj +1 more source
Decomposition of General Premium Principles into Risk and Deviation [PDF]
, 2020 Nendel M, Schmeck MD, Riedel F. Decomposition of General Premium Principles into Risk and Deviation. Center for Mathematical Economics Working Papers. Vol 638 aktual. Version July 2020. Bielefeld: Center for Mathematical Economics; 2020.In this paper, we
Schmeck, Maren Diane +6 more
core +1 more source
Multivariate extensions of expectiles risk measures
Dependence Modeling, 2017 This paper is devoted to the introduction and study of a new family of multivariate elicitable risk measures. We call the obtained vector-valued measures multivariate expectiles. We present the different approaches used to construct our measures.
Maume-Deschamps Véronique +2 more
doaj +1 more source
VaR bounds in models with partial dependence information on subgroups
Dependence Modeling, 2017 We derive improved estimates for the model risk of risk portfolios when additional to the marginals some partial dependence information is available.We consider models which are split into k subgroups and consider various classes of dependence ...
Rüschendorf Ludger, Witting Julian
doaj +1 more source
Risk bounds with additional information on functionals of the risk vector
Dependence Modeling, 2018 We consider the problem of determining risk bounds for the Value at Risk for risk vectors X where besides the marginal distributions also information on the distribution or on the expectation of some functionals Tj(X), 1 ≤ j ≤ m, is available.
Rüschendorf L.
doaj +1 more source
SDDP for multistage stochastic linear programs based on spectral risk measures [PDF]
, 2012 . We consider risk-averse formulations of multistage stochastic linear programs. For these formulations, based on convex combinations of spectral risk measures, risk-averse dynamic programming equations can be written.
Guiges, Vincent +3 more
core +1 more source