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Convex risk measures: Basic facts, law-invariance and beyond, asymptotics for large portfolios

https://doi.org/10.1142/9789814417358_0030
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Outgoing claims: the papers this work cites, builds on, or argues with.

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Law invariant convex risk measures
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Law invariant risk measures have the Fatou property
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Discrete Parameter Martingales
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Dynamic Risk Measures
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Coherent Risk Measures on General Probability Spaces
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A note on robust representations of law-invariant quasiconvex functions
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On law invariant coherent risk measures
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Coherent risk measures
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On convex risk measures on L p -spaces
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Vector-valued coherent risk measures
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Generalized deviations in risk analysis
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Risk assessment for uncertain cash flows: model ambiguity, discounting ambiguity, and the role of bubbles
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Convex measures of risk and trading constraints
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Dual characterization of properties of risk measures on Orlicz hearts
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A new premium calculation principle based on Orlicz norms
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On convex principles of premium calculation
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Insurance pricing and increased limits ratemaking by proportional hazards transforms
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Actuarial bridges to dynamic hedging and option pricing
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Maxmin expected utility with non-unique prior
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On Cramér's theorem for capacities
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Some new classes of consistent risk measures
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A comonotonic image of independence for additive risk measures
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Consistent risk measures for portfolio vectors
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Actuarial risk measures for financial derivative pricing
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A note on the Swiss Solvency Test risk measure
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Risk measures with comonotonic subadditivity or convexity and respecting stochastic orders
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A note on the connection between the Esscher–Girsanov transform and the Wang transform
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On Haezendonck risk measures
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The 1/N investment strategy is optimal under high model ambiguity
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Worst-case large-deviation asymptotics with application to queueing and information theory
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Axiomatic characterization of insurance prices
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Putting order in risk measures
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Robust Preferences and Robust Portfolio Choice
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On Additive Premium Calculation Principles
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An Economic Premium Principle
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On the representation of additive principles of premium calculation
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Risk Measures and Comonotonicity: A Review
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Theory of games and economic behavior
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New Measures for Performance Evaluation
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Robust large deviations performance analysis for large sample detectors
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Coherent Measures of Risk
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A REPRESENTATION RESULT FOR CONCAVE SCHUR CONCAVE FUNCTIONS
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DISTRIBUTION‐INVARIANT RISK MEASURES, INFORMATION, AND DYNAMIC CONSISTENCY
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AN OLD‐NEW CONCEPT OF CONVEX RISK MEASURES: THE OPTIMIZED CERTAINTY EQUIVALENT
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RISK MEASURES ON ORLICZ HEARTS
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RISK MEASURES: RATIONALITY AND DIVERSIFICATION
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THE CANONICAL MODEL SPACE FOR LAW‐INVARIANT CONVEX RISK MEASURES IS L1
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Ambiguity Aversion, Robustness, and the Variational Representation of Preferences
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Modeling, Measuring and Managing Risk
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Convex Capital Requirements for Large Portfolios
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MONETARY VALUATION OF CASH FLOWS UNDER KNIGHTIAN UNCERTAINTY
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ENTROPIC RISK MEASURES: COHERENCE VS. CONVEXITY, MODEL AMBIGUITY AND ROBUST LARGE DEVIATIONS
inferredcites →https://doi.org/10.1214/aoms/1177704255openalex-snapshot
A Definition of Subjective Probability
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Minimax Tests and the Neyman-Pearson Lemma for Capacities
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Robust projections in the class of martingale measures
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Risk Preferences and Their Robust Representation
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Penalty Functions and Duality in Stochastic Programming Via ϕ-Divergence Functionals
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Stochastic Root Finding and Efficient Estimation of Convex Risk Measures
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Law invariant convex risk measures for portfolio vectors
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Optimal portfolios with Haezendonck risk measures
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Risk Measures and Efficient use of Capital
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The Dual Theory of Choice under Risk
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A Class of Distortion Operators for Pricing Financial and Insurance Risks
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Notes On The Theory Of Choice
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FOUNDATIONS OF STATISTICS
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Some Minimax Theorems.

What points at this work

Incoming claims: where this work appears in other papers’ reference lists and arguments.

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