Results 21 to 30 of about 73 (68)

Background filtrations and canonical loss processes for top-down models of portfolio credit risk

, 2009
Credit risk, Default correlation, Point processes, Generalized Cox processes, Hypothesis ℍ, G13, 60G35, 91B28, 91B30,
Schoenbucher, Philipp J., Philippe Ehlers, Ehlers, Philippe, Philipp Schönbucher   +3 more
core   +1 more source

Optimal capital and risk allocations for law- and cash-invariant convex functions [PDF]

Exact convolutions, Law-invariant risk measures, Optimal capital and risk allocations, 91B28, 91B30, G32, C62,
Damir Filipović, Gregor Svindland, Svindland, Gregor, Filipovic, Damir   +3 more
core   +2 more sources

Generalized Hoeffding-Fréchet functionals and mass transportation

Dependence Modeling
This note is concerned with some historical remarks on and a partial review of two interesting mathematical subjects, the generalized Hoeffding-Fréchet functionals and the Monge-Kantorovich mass transportation problem.
Rüschendorf Ludger
doaj   +1 more source

Dilatation monotone risk measures are law invariant

, 2007
Coherent risk measures, Convex risk measures, Dilatation monotonicity, Factor monotonicity, Fatou property, Law invariance, Second-order stochastic dominance, G32, 91B16, 91B30,
Alexander Cherny, Pavel Grigoriev, Grigoriev, Pavel G., Cherny, Alexander S.   +3 more
core   +1 more source

Worst case portfolio vectors and diversification effects

, 2010
Dependent risks, Risk bounds, Diversification, Comonotone vectors, 60E15, 91B30, G32, C43,
Ludger Rüschendorf
core   +1 more source

Partial equilibria with convex capital requirements: existence, uniqueness and stability

, 2009
Acceptance sets, Convex capital requirements, Incomplete markets, Mutually agreeable claims, Partial equilibrium allocation, Partial equilibrium price, Stability of equilibria, Primary 91B70, Secondary 91B30, 60G35, G11, G12, C62,
Michail Anthropelos, Gordan Žitković
core   +1 more source

Dynamic risk measures: Time consistency and risk measures from BMO martingales

Dynamic risk measures, Conditional risk measures, Time consistency, BMO martingales, 91B30, 91B70, 60G44, 28A20, 46A20, D81, D52, C61,
Jocelyne Bion-Nadal
core   +1 more source

Representation of the penalty term of dynamic concave utilities

Dynamic concave utilities, Dynamic convex risk measures, Penalty functions, g-expectations, Backward stochastic differential equations, 60G44, 60H10, 91B30, G11, G13, G22,
Shige Peng, Emanuela Rosazza Gianin, Freddy Delbaen   +2 more
core   +1 more source

Asymptotic distribution of law-invariant risk functionals

Risk functionals, Law-invariance, Asymptotic normality, M-theorems, 91B30, 62E20, 60F05, 91B28, D81, G32,
Georg Pflug, Nancy Wozabal
core   +1 more source

Thiele's differential equation generalized

, 2007
A general model for the evaluation of insurance policies by means of the mathematical reserve is determined. We obtain an expression which allows us to draw generalized versions of the traditional Thiele’s equation in different stochastic hypothesis ...
GOSIO, CRISTINA, RAVERA, MARINA
core   +1 more source