In financial mathematics, a conditional risk measure is a random variable of the financial risk (particularly the downside risk) as if measured atâ€¦Â (More)

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2015

2015

- Tsvetan Asamov, Andrzej Ruszczynski
- Math. Program.
- 2015

OF THE DISSERTATION TIME-CONSISTENT APPROXIMATIONS OF RISK-AVERSE MULTISTAGE STOCHASTIC OPTIMIZATION PROBLEMS by Tsvetan Asamovâ€¦Â (More)

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2013

2013

- Zengjing Chen, Kun He, R. Kulperger
- 2013

Coherent and convex risk measures, Choquet expectation and Pengâ€™s g-expectation are all generalizations of mathematicalâ€¦Â (More)

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2011

2011

Known vulnerabilities which have been discovered but not patched represents a security risk which can lead to considerableâ€¦Â (More)

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2006

2006

Working in a continuous time setting, we extend to the general case of dynamic risk measures continuous from above theâ€¦Â (More)

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2006

2006

- Li-Jun Jiang
- 2006

Under the continuous assumption on the generator g, Briand et al. [Electron. Comm. Probab. 5 (2000) 101â€“117] showed someâ€¦Â (More)

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2006

2006

We characterize time-consistent dynamic risk measures. In discrete time in context of uncertainty, we canonically associate aâ€¦Â (More)

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2006

2006

In this paper, we establish a class of dynamic risk measures for evaluating discrete-time process. Our research is mostlyâ€¦Â (More)

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Review

2006

Review

2006

- Hayri KÃ¶rezlioÄŸlu
- 2006

DYNAMIC COHERENT RISK MEASURES KORKMAZ, SÄ°BEL M.Sc., Department of Financial Mathemathics Supervisor: Prof. Dr. Hayri KÃ¶rezlioÄŸluâ€¦Â (More)

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2004

2004

In this paper, we give the axiomatic characterization of risk measures and discuss the treads of developments in this area. Theâ€¦Â (More)

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2003

2003

In this paper we present a method for defining a dynamic risk measure from a static risk measure, by backwards iteration. Weâ€¦Â (More)

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