Image de couverture de livre

Partial comonotonicity and distortion riskmetrics

Fuente: arXiv

Enregistré dans:

Détails bibliographiques
Auteur principal:	Huang, Muqiao
Format:	Preprint
Publié:	2025
Sujets:	Risk Management
Accès en ligne:	Acceder al recurso
Tags:	Ajouter un tag Pas de tags, Soyez le premier à ajouter un tag!

Documents similaires

Risk sharing, measuring variability, and distortion riskmetrics
par: Lauzier, Jean-Gabriel, et autres
Publié: (2023)

Worst-cases of distortion riskmetrics and weighted entropy with partial information
par: Zuo, Baishuai, et autres
Publié: (2024)

Analyzing distortion riskmetrics and weighted entropy for unimodal and symmetric distributions under partial information constraints
par: Zuo, Baishuai, et autres
Publié: (2025)

Coherent risk measures and uniform integrability
par: Huang, Muqiao, et autres
Publié: (2024)

A new characterization of second-order stochastic dominance
par: Guan, Yuanying, et autres
Publié: (2024)

The limitations of comonotonic additive risk measures: a literature review
par: Santos, Samuel Solgon, et autres
Publié: (2022)

Lambda Expected Shortfall
par: Bellini, Fabio, et autres
Publié: (2025)

Extremal cases of distortion risk measures with partial information
par: Zhao, Mengshuo, et autres
Publié: (2024)

Counter-monotonic risk allocations and distortion risk measures
par: Ghossoub, Mario, et autres
Publié: (2024)

Best- and worst-case Scenarios for GlueVaR distortion risk measure with Incomplete information
par: Zhao, Mengshuo, et autres
Publié: (2024)

Partial Law Invariance and Risk Measures
par: Shen, Yi, et autres
Publié: (2024)

The randomly distorted Choquet integrals with respect to a G-randomly distorted capacity and risk measures
par: Aldalbahi, Ohood, et autres
Publié: (2025)

Optimal allocations with distortion risk measures and mixed risk attitudes
par: Ghossoub, Mario, et autres
Publié: (2025)

Robust distortion risk measures with linear penalty under distribution uncertainty
par: Du, Yuxin, et autres
Publié: (2025)

Partial Entrance Restriction as a Potential Tidal Flood Mitigation Strategy in a Large Urban Estuary
par: Octria A. Prasojo, et autres
Publié: (2026)

Robust distortion risk metrics and portfolio optimization
par: Liu, Peng, et autres
Publié: (2025)

Norms Based on Generalized Expected-Shortfalls and Applications
par: Gong, Shuyu, et autres
Publié: (2025)

Can Limited Liability Increase Stability for Banks: A Dynamic Portfolio Approach
par: Barik, Deb Narayan, et autres
Publié: (2025)

A high-frequency approach to Realized Risk Measures
par: Gatta, Federico, et autres
Publié: (2025)

Optimal design of reinsurance contracts with a continuum of risk assessments
par: Cheung, Ka Chun, et autres
Publié: (2025)

Quantum Network of Assets (QNA): A Density-Operator Framework for Market Dependence and Structural Risk Diagnostics
par: Gong, Hui, et autres
Publié: (2025)

Portfolio Optimization for Index Tracking with Constraints on Downside Risk and Carbon Footprint
par: Biswas, Suparna, et autres
Publié: (2025)

Assessment of loan losses after default
par: Mikhail, Pomazanov
Publié: (2025)

Combining a Large Pool of Forecasts of Value-at-Risk and Expected Shortfall
par: Taylor, James W., et autres
Publié: (2025)

Combination of traditional and parametric insurance: calibration method based on the optimization of a criterion adapted to heavy tail losses
par: Lopez, Olivier, et autres
Publié: (2025)

Through-the-Cycle PD Estimation Under Incomplete Data -- A Single Risk Factor Approach
par: Dömötör, Barbara, et autres
Publié: (2025)

Subgame Perfect Nash Equilibria in Large Reinsurance Markets
par: Andraos, Maria, et autres
Publié: (2025)

Tourism diversification paths in ski mid-mountain territories: any transformations?
par: Rouch, Laura, et autres
Publié: (2025)

Toxicity Bounds for Dynamic Liquidation Incentives
par: McFarlane, Alexander
Publié: (2025)

A Risk Mitigation Model of Monetary Ecosystem with Stablecoins
par: Wen, Hongzhe, et autres
Publié: (2025)

Physical Climate Risk in Asset Management
par: Azzone, Michele, et autres
Publié: (2025)

A tail-shape actuarial index based on equal level relationships between Value at Risk and Expected Shortfall
par: Papayiannis, Georgios I., et autres
Publié: (2025)

Robust Insurance Pricing and Liquidity Management
par: Pang, Shunzhi
Publié: (2025)

A Natural Hedging Framework for Longevity Risk with Graphical Risk Assessment
par: Gabric, Lydia J., et autres
Publié: (2025)

Monopoly Pricing of Weather Index Insurance
par: Boonen, Tim J., et autres
Publié: (2025)

ESG Risk: Lessons Learned from Utility Theory
par: Geissel, Sebastian, et autres
Publié: (2025)

Dynamic loan portfolio management in a three time step model
par: Barik, Deb Narayan, et autres
Publié: (2025)

Modeling Excess Mortality and Interest Rates using Mixed Fractional Brownian Motions
par: Zhou, Kenneth Q., et autres
Publié: (2025)

Multi-Scale Network Dynamics and Systemic Risk: A Model Context Protocol Approach to Financial Markets
par: Bhandari, Avishek
Publié: (2025)

Asymptotic Analysis of Optimal Diversification in Catastrophe Risk Pooling
par: Nguyen, Minh Chau, et autres
Publié: (2025)