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Mathematical Risk Analysis
Risk Measures for Real Risks
other
Author(s):
Ludger Rüschendorf
Publication date
(Online):
August 30 2012
Publisher:
Springer Berlin Heidelberg
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International Journal of Banking and Finance
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Optimization of conditional value-at-risk
R. Rockafellar
,
Stanislav Uryasev
(2000)
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Coherent Measures of Risk
Philippe Artzner
,
Freddy Delbaen
,
Jean-Marc Eber
…
(1999)
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Putting order in risk measures
Marco Frittelli
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Emanuela Rosazza Gianin
(2002)
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Book Chapter
Publication date (Print):
2013
Publication date (Online):
August 30 2012
Pages
: 141-165
DOI:
10.1007/978-3-642-33590-7_7
SO-VID:
d37e884e-cdc0-47a5-b371-1e2452b6170c
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Book chapters
pp. 3
Copulas, Sklar’s Theorem, and Distributional Transform
pp. 35
Fréchet Classes, Risk Bounds, and Duality Theory
pp. 53
Convex Order, Excess of Loss, and Comonotonicity
pp. 71
Bounds for the Distribution Function and Value at Risk of the Joint Portfolio
pp. 91
Restrictions on the Dependence Structure
pp. 113
Dependence Orderings of Risk Vectors and Portfolios
pp. 141
Risk Measures for Real Risks
pp. 167
Risk Measures for Portfolio Vectors
pp. 189
Law Invariant Convex Risk Measures on \(L_{d}^{p}\) and Optimal Mass Transportation
pp. 227
Optimal Allocations and Pareto Equilibrium
pp. 265
Characterization and Examples of Optimal Risk Allocations for Convex Risk Functionals
pp. 305
Optimal Contingent Claims and (Re)insurance Contracts
pp. 325
Optimal Portfolio Diversification w.r.t. Extreme Risks
pp. 353
Ordering of Multivariate Risk Models with Respect to Extreme Portfolio Losses
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