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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… Expand
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Papers overview

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Highly Cited
2012
Highly Cited
2012
This paper introduces the concept of entropic value-at-risk (EVaR), a new coherent risk measure that corresponds to the tightest… Expand
Highly Cited
2008
Highly Cited
2008
In this paper, we consider the problem to find a market portfolio that minimizes the convex risk measure of the terminal wealth… Expand
Highly Cited
2007
Highly Cited
2007
The paper considers modelling of risk-averse preferences in stochastic programming problems using risk measures. We utilize the… Expand
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… Expand
Highly Cited
2007
Highly Cited
2007
Abstract We analyze an extension of the classical multi-period, single-item, linear cost inventory problem where the objective… Expand
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Highly Cited
2005
Highly Cited
2005
Abstract This article shows that any coherent risk measure is given by a convex combination of expected shortfalls, and an… Expand
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Highly Cited
2005
Highly Cited
2005
Abstract.We extend the definition of a convex risk measure to a conditional framework where additional information is available… Expand
Highly Cited
2004
Highly Cited
2004
We consider the problem of determining appropriate solvency capital requirements for an insurance company or a financial… Expand
Highly Cited
2003
Highly Cited
2003
Monetary measures of risk like Value at Risk or Worst Conditional Expectation assess the risk of financial positions. The… Expand
Highly Cited
2002
Highly Cited
2002
Abstract. We introduce the notion of a convex measure of risk, an extension of the concept of a coherent risk measure defined in… Expand