Coherent Risk Measures and Linear Programming

2001 ◽  
pp. 410-431 ◽  
Author(s):  
Stefano Benati
Keyword(s):  
Linear Programming ◽  
Risk Measures ◽  
Coherent Risk Measures ◽  
Coherent Risk

An adaptive procedure for estimating coherent risk measures based on generalized scenarios

2008 ◽  
Vol 11 (4) ◽  
pp. 1-31 ◽  
Author(s):  
Vadim Lesnevski ◽  
Barry Nelson ◽  
Jeremy Staum
Keyword(s):  
Risk Measures ◽  
Coherent Risk Measures ◽  
Adaptive Procedure ◽  
Coherent Risk

Simulation of Coherent Risk Measures Based on Generalized Scenarios

2006 ◽  
Author(s):  
Vadim Lesnevski ◽  
Barry L. Nelson ◽  
Jeremy C. Staum
Keyword(s):  
Risk Measures ◽  
Coherent Risk Measures ◽  
Coherent Risk

scholarly journals Restricted Coherent Risk Measures and Actuarial Solvency

2012 ◽  
Vol 2012 ◽  
pp. 1-18
Author(s):  
Christos E. Kountzakis
Keyword(s):  
Minimization Problem ◽  
Risk Measures ◽  
Insurance Company ◽  
Coherent Risk Measures ◽  
Dual Representation ◽  
Coherent Risk ◽  
Representation Form ◽  
Solvency Capital

We prove a general dual representation form for restricted coherent risk measures, and we apply it to a minimization problem of the required solvency capital for an insurance company.

scholarly journals Rearrangement Invariant, Coherent Risk Measures on L<sup>0</sup>

2015 ◽  
Vol 04 (01) ◽  
pp. 22-25
Author(s):  
Christos E. Kountzakis ◽  
Dimitrios G. Konstantinides
Keyword(s):  
Risk Measures ◽  
Coherent Risk Measures ◽  
Coherent Risk

scholarly journals From isotonic Banach functionals to coherent risk measures

2001 ◽  
Vol 28 (4) ◽  
pp. 427-436
Author(s):  
Zbigniew Dudek
Keyword(s):  
Risk Measures ◽  
Coherent Risk Measures ◽  
Coherent Risk

scholarly journals Risk Measures and Efficient use of Capital

2009 ◽  
Vol 39 (1) ◽  
pp. 101-116 ◽  
Author(s):  
Philippe Artzner ◽  
Freddy Delbaen ◽  
Pablo Koch-Medina
Keyword(s):  
Foreign Currency ◽  
Risk Measures ◽  
Minimum Cost ◽  
Risk Measurement ◽  
Optimal Combination ◽  
Foreign Asset ◽  
Coherent Risk Measures ◽  
Coherent Risk ◽  
Capital Efficiency

AbstractThis paper is concerned with clarifying the link between risk measurement and capital efficiency. For this purpose we introduce risk measurement as the minimum cost of making a position acceptable by adding an optimal combination of multiple eligible assets. Under certain assumptions, it is shown that these risk measures have properties similar to those of coherent risk measures. The motivation for this paper was the study of a multi-currency setting where it is natural to use simultaneously a domestic and a foreign asset as investment vehicles to inject the capital necessary to make an unacceptable position acceptable. We also study what happens when one changes the unit of account from domestic to foreign currency and are led to the notion of compatibility of risk measures. In addition, we aim to clarify terminology in the field.

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