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
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