Coherent risk measure

Known as: Convex risk measure 
In the fields of Actuarial Science and financial economics there are a number of ways that risk can be defined; to clarify the concept theoreticians… (More)
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Papers overview

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2012
2012
This article proposes a new coherent risk measure called iso-entropic risk measure, which is based on relative entropy under the… (More)
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2009
2009
In this paper we indicate a natural generalization of the notion of the coherent risk measure in some partially ordered normed… (More)
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2008
2008
We consider the problem of determining appropriate solvency capital requirements for an insurance company or a financial… (More)
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2007
2007
The paper considers modeling of risk-averse preferences in stochastic programming problems using risk measures. We utilize the… (More)
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Highly Cited
2007
Highly Cited
2007
We analyze an extension of the classical multi-period, single-item, linear cost inventory problem where the objective function is… (More)
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Highly Cited
2007
Highly Cited
2007
Starting with a time-0 coherent risk measure defined for “value processes”, we also define risk measurement processes. Two other… (More)
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Highly Cited
2005
Highly Cited
2005
We extend the definition of a convex risk measure to a conditional framework where additional information is available. We… (More)
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2004
2004
In financial risk management, a coherent risk measure equals the maximum expected loss under several different probability… (More)
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2003
2003
One of the basic problems of applied finance is the optimal selection of stocks, with the aim of maximizing future returns and… (More)
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Highly Cited
1999
Highly Cited
1999
The allocation problem stems from the diversification effect observed in risk measurements of financial portfolios: the sum of… (More)
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