A Spectral risk measure is a risk measure given as a weighted average of outcomes where bad outcomes are, typically, included with larger weights. Aâ€¦Â (More)

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2017

2017

Due to catastrophic consequences of accidents by hazardous materials (hazmat) transportation, a risk-averse approach for routingâ€¦Â (More)

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2017

2017

- Kevin Cotter, John Sorwar, Kevin Dowd, John Cotter, Ghulam Sorwar, Dirk Tasche
- 2017

Spectral risk measures (SRMs) are risk measures that take account of user riskaversion, but to date there has been littleâ€¦Â (More)

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Review

2017

Review

2017

- Sebastian Fuchs, Ruben Schlotter, Klaus D. Schmidt
- 2017

In the present paper, we study quantile risk measures and their domain. Our starting point is that, for a probability measure Qâ€¦Â (More)

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2015

2015

- Carlos Abad, Garud Iyengar
- SIAM J. Financial Math.
- 2015

We propose an iterative gradient-based algorithm to efficiently solve the portfolio selection problem with multiple spectral riskâ€¦Â (More)

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2013

2013

- Yongqiao Wang, He Ni, Shouyang Wang
- Neurocomputing
- 2013

Statistical learning theory provides the justification of the E-insensitive loss in support vector regression, but suggestsâ€¦Â (More)

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2013

2013

- Mario Brandtner, Wolfgang KÃ¼rsten
- European Journal of Operational Research
- 2013

This paper introduces a new method for modeling risk averse behavior with spectral risk measures. It is shown that recentâ€¦Â (More)

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2006

2006

This paper uses a recently developed two-factor stochastic mortality model to estimate financial risk measures for fourâ€¦Â (More)

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