## 10 Citations

Optimal risk sharing in insurance networks

- Economics
- 2019

We discuss the impact of risk sharing and asset–liability management on capital requirements. Our analysis contributes to the evaluation of the merits and deficiencies of different risk measures. In…

Solvency II, or how to sweep the downside risk under the carpet

- Computer ScienceInsurance: Mathematics and Economics
- 2018

Risk Measures Based on Benchmark Loss Distributions

- EconomicsJournal of Risk and Insurance
- 2019

We introduce a class of quantile‐based risk measures that generalize Value at Risk (VaR) and, likewise Expected Shortfall (ES), take into account both the frequency and the severity of losses. Under…

Risk Measures Based on Benchmark Loss Distributions

- Economics
- 2017

We introduce a class of quantile-based risk measures that generalize Value at Risk (VaR) and, likewise Expected Shortfall (ES), take into account both the frequency and the severity of losses. Under…

Notes de cours sur le risque de crédit (Lecture Notes on Credit Risk)

- Economics
- 2017

French Abstract: Le but de ce cours est, d'une part de decrire l'ensemble de la chaine du risque de credit dans la banque (marche du credit cash et derive, gestion du risque, mesure de performance,…

What Is and What Is not Regulatory Arbitrage? A Review and Syntheses

- Business
- 2017

Regulatory arbitrage is an avoidance strategy of regulation that is exercised as a result of a regulatory inconsistency. As a regulatory response strategy, it has been in the shadow of other possible…

COMONOTONIC MEASURES OF MULTIVARIATE RISKS

- Mathematics
- 2012

We propose a multivariate extension of a well‐known characterization by S. Kusuoka of regular and coherent risk measures as maximal correlation functionals. This involves an extension of the notion…

Comonotonic measures of multivariates risks

- Mathematics
- 2017

We propose a multivariate extension of a well-known characterization by S. Kusuoka of regular and coherent risk measures as maximal correlation functionals. This involves an extension of the notion…

Comonotonic Measures of Multivariate Risks

- Mathematics
- 2009

We propose a multivariate extension of a well-known characterization by S. Kusuoka of regular and coherent risk measures as maximal correlation functionals. This involves an extension of the notion…

## References

SHOWING 1-10 OF 11 REFERENCES

Efficient Portfolio Analysis Using Distortion Risk Measures

- Economics, Mathematics
- 2006

We introduce nonparametric estimators of the sensitivity of distortion risk measure with re-spect to portfolio allocation. These estimators are used to derive the estimated e±cient…

Inf-convolution of risk measures and optimal risk transfer

- EconomicsFinance Stochastics
- 2005

A methodology for optimal design of financial instruments aimed to hedge some forms of risk that is not traded on financial markets and is reduced to a unique inf-convolution problem involving a transformation of the initial risk measures.

Law invariant convex risk measures for portfolio vectors

- Mathematics
- 2006

The class of all lawinvariant, convex risk measures for portfolio vectors is characterized. The building blocks of this class are shown to be formed by the maximal correlation risk measures. We…

Portfolio diversification and value at risk under thick-tailedness

- Economics
- 2004

This paper focuses on the study of portfolio diversification and value at risk analysis under heavy-tailedness. We use a notion of diversification based on majorization theory that will be explained…

Coherent Measures of Risk

- Economics
- 1999

In this paper we study both market risks and nonmarket risks, without complete markets assumption, and discuss methods of measurement of these risks. We present and justify a set of four desirable…

Law invariant convex risk measures

- Mathematics
- 2005

As a generalization of a result by Kusuoka (2001), we provide the representation of law invariant convex risk measures. Very particular cases of law invariant coherent and convex risk measures are…

Advances in finance and stochastics : essays in honour of Dieter Sondermann

- Economics
- 2002

F. Delbaen: Coherent Risk Measures on General Probability Spaces.- H. Foellmer/A. Schied: Robust Preferences and Convex Measures of Risk.- P. Embrechts/S.Y. Novak: Long Head-Runs and Long Match…

On law invariant coherent risk measures

- Mathematics
- 2001

The idea of coherent risk measures has been introduced by Artzner, Delbaen, Eber and Heath [1]. We think of a special class of coherent risk measures and give a characterization of it. Let (Ω, ℱ, P)…

Coherent Risk Measures on General Probability Spaces

- Mathematics
- 2002

We extend the definition of coherent risk measures, as introduced by Artzner, Delbaen, Eber and Heath, to general probability spaces and we show how to define such measures on the space of all random…