Add to ORKGWe define a class of convex measures of risk whose values depend on the random variables only up to the ?-quantiles for some given constant ? ? (0, 1). For this class of convex risk measures, the assumption of Fatou property can be strengthened, and the robust representation theorem via convex duality method is provided. These results are specialized to the class of ?-quantile law invariant risk measures. We define the ?-quantile uniform preference (?-quantile second order stochastic dominance) of two probability distribution measures and the ?-quantile dependent concave distortion and study their properties. The robust representation theorem of the ?-quantile dependent Weighted Value-at-Risk is proven via two different approaches: the ?- q...
In the present paper, we study quantile risk measures and their domain. Our starting point is that, ...
In the present paper, we study quantile risk measures and their domain. Our starting point is that, ...
A spectrum of upper bounds (Qα(X ; p) αε[0,∞] on the (largest) (1-p)-quantile Q(X;p) of an arbitrary...
We propose a generalization of the classical notion of the V@Rλ that takes into account not only the...
We consider the computation of quantiles and spectral risk measures for discrete distributions. This...
The analysis and interpretation of risk play a crucial role in different areas of modern finance. Th...
Recently, Frittelli and Scandolo ([9]) extend the notion of risk measures, originally introduced by ...
We consider the problem of constructing mean-risk models which are consistent with the second degree...
This thesis studies two types of problems, the theory of risk functionals and the risk sharing probl...
Pursuing our previous work in which the classical notion of increasing convex stochastic dominance r...
Recently, Frittelli and Scandolo extend the notion of risk measures, originally introduced by Artzne...
Recently, Frittelli and Scandolo extend the notion of risk measures, originally introduced by Artzne...
Recently, Frittelli and Scandolo extend the notion of risk measures, originally introduced by Artzne...
In an environment in which the primitive is the space of distribution functions, we characterize the...
In the present contribution, we characterise law determined convex risk measures that have convex l...
In the present paper, we study quantile risk measures and their domain. Our starting point is that, ...
In the present paper, we study quantile risk measures and their domain. Our starting point is that, ...
A spectrum of upper bounds (Qα(X ; p) αε[0,∞] on the (largest) (1-p)-quantile Q(X;p) of an arbitrary...
We propose a generalization of the classical notion of the V@Rλ that takes into account not only the...
We consider the computation of quantiles and spectral risk measures for discrete distributions. This...
The analysis and interpretation of risk play a crucial role in different areas of modern finance. Th...
Recently, Frittelli and Scandolo ([9]) extend the notion of risk measures, originally introduced by ...
We consider the problem of constructing mean-risk models which are consistent with the second degree...
This thesis studies two types of problems, the theory of risk functionals and the risk sharing probl...
Pursuing our previous work in which the classical notion of increasing convex stochastic dominance r...
Recently, Frittelli and Scandolo extend the notion of risk measures, originally introduced by Artzne...
Recently, Frittelli and Scandolo extend the notion of risk measures, originally introduced by Artzne...
Recently, Frittelli and Scandolo extend the notion of risk measures, originally introduced by Artzne...
In an environment in which the primitive is the space of distribution functions, we characterize the...
In the present contribution, we characterise law determined convex risk measures that have convex l...
In the present paper, we study quantile risk measures and their domain. Our starting point is that, ...
In the present paper, we study quantile risk measures and their domain. Our starting point is that, ...
A spectrum of upper bounds (Qα(X ; p) αε[0,∞] on the (largest) (1-p)-quantile Q(X;p) of an arbitrary...