:: Library Catalog

Cover Image

Saved in:

Bibliographic Details
Main Author:	Müller, Alfred
Format:	Preprint
Published:	2024
Subjects:	Risk Management Probability
Online Access:	https://arxiv.org/abs/2411.10139
Tags:	Add Tag No Tags, Be the first to tag this record!

Similar Items

Stochastic dominance for linear combinations of infinite-mean risks
by: Chen, Yuyu, et al.
Published: (2025)

Cash non-additive risk measures: horizon risk and generalized entropy
by: Di Nunno, Giulia, et al.
Published: (2024)

An unexpected stochastic dominance: Pareto distributions, dependence, and diversification
by: Chen, Yuyu, et al.
Published: (2022)

Robust quasi-convex risk measures and applications
by: Centrone, Francesca, et al.
Published: (2026)

Cash-subadditive risk measures without quasi-convexity
by: Han, Xia, et al.
Published: (2021)

Second order asymptotics for discounted aggregate claims of continuous-time renewal risk models with constant interest force
by: Genga, Bingzhen, et al.
Published: (2025)

Disability insurance with collective health claims: A mean-field approach
by: Furrer, Christian, et al.
Published: (2025)

Diversification quotients: Quantifying diversification via risk measures
by: Han, Xia, et al.
Published: (2022)

The randomly distorted Choquet integrals with respect to a G-randomly distorted capacity and risk measures
by: Aldalbahi, Ohood, et al.
Published: (2025)

Modeling dependency between operational risk losses and macroeconomic variables using Hidden Markov Models
by: Selvaratnam, Nikeethan, et al.
Published: (2026)

Dynamic risk measures for fluctuations in market volatility under Bochner-Lebesgue spaces
by: Sun, Fei, et al.
Published: (2018)

Optimal nonparametric estimation of the expected shortfall risk
by: Bartl, Daniel, et al.
Published: (2024)

A Laplace-based perspective on conditional mean risk sharing
by: Blier-Wong, Christopher
Published: (2026)

Lambda Value-at-Risk under ambiguity and risk sharing
by: Liu, Peng, et al.
Published: (2025)

Some properties of Euler capital allocation
by: Holden, Lars
Published: (2024)

Optimal risk sharing, equilibria, and welfare with empirically realistic risk attitudes
by: Lauzier, Jean-Gabriel, et al.
Published: (2024)

A note on Refracted Skew Brownian Motion with an application
by: Ahmadi, Zaniar, et al.
Published: (2024)

Asymptotics of Systemic Risk in a Renewal Model with Multiple Business Lines and Heterogeneous Claims
by: Geng, Bingzhen, et al.
Published: (2024)

Canonical insurance models: stochastic equations and comparison theorems
by: Christiansen, Marcus C., et al.
Published: (2024)

Coherent Risk Measure on $L^0$: NA Condition, Pricing and Dual Representation
by: Lepinette, Emmanuel, et al.
Published: (2024)

A New Application of Hoeffding's Inequality Can Give Traders Early Warning of Financial Regime Change
by: Egger, Daniel, et al.
Published: (2025)

Higher moments under dependence uncertainty with applications in insurance
by: Bernard, Carole, et al.
Published: (2025)

A property of log-concave and weakly-symmetric distributions for two step approximations of random variables
by: Nistor, Mihaela-Adriana, et al.
Published: (2026)

Eliciting reference measures of law-invariant functionals
by: Liebrich, Felix-Benedikt, et al.
Published: (2025)

Optimal Support for Distressed Subsidiaries -- a Systemic Risk Perspective
by: Bichuch, Maxim, et al.
Published: (2022)

Merton model and Poisson process with Log Normal intensity function
by: Hisakado, Masato, et al.
Published: (2025)

Multivariate Self-Exciting Processes with Dependencies
by: Hillairet, Caroline, et al.
Published: (2025)

VaR at Its Extremes: Impossibilities and Conditions for One-Sided Random Variables
by: Mohammed, Nawaf
Published: (2025)

Mean-field approximations in insurance
by: Hornung, Philipp C.
Published: (2025)

Further Developments on Stochastic Dominance for Convex Combinations of Infinite-Mean Random Variables
by: Zeng, Keyi, et al.
Published: (2025)

Compensation-based risk-sharing
by: Dhaene, Jan, et al.
Published: (2025)

Mirror Descent Algorithms for Risk Budgeting Portfolios
by: Iglesias, Martin Arnaiz, et al.
Published: (2024)

An Analytic Solution for Asset Allocation with a Multivariate Laplace Distribution
by: Giller, Graham L.
Published: (2024)

Three-level qualitative classification of financial risks under varying conditions through first passage times
by: Bouthelier-Madre, Carlos, et al.
Published: (2025)

Quantiles under ambiguity and risk sharing
by: Liu, Peng, et al.
Published: (2024)

Credit risk for large portfolios of green and brown loans: extending the ASRF model
by: Ramponi, Alessandro, et al.
Published: (2025)

On Joint Marginal Expected Shortfall and Associated Contribution Risk Measures
by: Pu, Tong, et al.
Published: (2024)

Subsidising Inclusive Insurance to Reduce Poverty
by: Flores-Contró, José Miguel, et al.
Published: (2021)

A multistate approach to disability insurance reserving with information delays
by: Sandqvist, Oliver Lunding
Published: (2023)

Infinite-mean models in risk management: Discussions and recent advances
by: Chen, Yuyu, et al.
Published: (2024)