Ararat, Çağin; Hamel, Andreas H.; Rudloff, Birgit Set-valued shortfall and divergence risk measures. (English) Zbl 1396.91807 Int. J. Theor. Appl. Finance 20, No. 5, Article ID 1750026, 48 p. (2017). MSC: 91G70 46N10 49N15 PDFBibTeX XMLCite \textit{Ç. Ararat} et al., Int. J. Theor. Appl. Finance 20, No. 5, Article ID 1750026, 48 p. (2017; Zbl 1396.91807) Full Text: DOI arXiv
Deaconu, Madalina; Lejay, Antoine; Salhi, Khaled Approximation of CVaR minimization for hedging under exponential-Lévy models. (English) Zbl 1367.91201 J. Comput. Appl. Math. 326, 171-182 (2017). MSC: 91G70 60G51 91G20 65T50 PDFBibTeX XMLCite \textit{M. Deaconu} et al., J. Comput. Appl. Math. 326, 171--182 (2017; Zbl 1367.91201) Full Text: DOI HAL
Bielagk, Jana; Lionnet, Arnaud; dos Reis, Gonçalo Equilibrium pricing under relative performance concerns. (English) Zbl 1367.91200 SIAM J. Financ. Math. 8, 435-482 (2017). Reviewer: Yuliya S. Mishura (Kyïv) MSC: 91G70 91A10 60H30 60H07 60H20 65C30 PDFBibTeX XMLCite \textit{J. Bielagk} et al., SIAM J. Financ. Math. 8, 435--482 (2017; Zbl 1367.91200) Full Text: DOI arXiv
Cai, Jun; Wang, Ying; Mao, Tiantian Tail subadditivity of distortion risk measures and multivariate tail distortion risk measures. (English) Zbl 1394.91197 Insur. Math. Econ. 75, 105-116 (2017). MSC: 91B30 62P05 91G70 PDFBibTeX XMLCite \textit{J. Cai} et al., Insur. Math. Econ. 75, 105--116 (2017; Zbl 1394.91197) Full Text: DOI
Mirabi, Kolsoom; Arashi, Mohammad Mixed two-stage derivative estimator for sensitivity analysis. (English) Zbl 1365.62081 J. Math. Model. 5, No. 1, 41-52 (2017). MSC: 62F10 91B30 PDFBibTeX XMLCite \textit{K. Mirabi} and \textit{M. Arashi}, J. Math. Model. 5, No. 1, 41--52 (2017; Zbl 1365.62081) Full Text: Link
Krätschmer, Volker; Schied, Alexander; Zähle, Henryk Domains of weak continuity of statistical functionals with a view toward robust statistics. (English) Zbl 1370.62022 J. Multivariate Anal. 158, 1-19 (2017). MSC: 62F35 62F10 62G05 62G35 62P05 91B30 PDFBibTeX XMLCite \textit{V. Krätschmer} et al., J. Multivariate Anal. 158, 1--19 (2017; Zbl 1370.62022) Full Text: DOI arXiv
Arias Serna, María Andrea; Puerta Yepes, María Eugenia; Escalante Coterio, César Edinson; Arango Ospina, Gerardo \((Q,r)\) model with \(CVaR_\alpha\) of costs minimization. (English) Zbl 1365.90011 J. Ind. Manag. Optim. 13, No. 1, 135-146 (2017). MSC: 90B05 PDFBibTeX XMLCite \textit{M. A. Arias Serna} et al., J. Ind. Manag. Optim. 13, No. 1, 135--146 (2017; Zbl 1365.90011) Full Text: DOI
Krätschmer, Volker; Zähle, Henryk Statistical inference for expectile-based risk measures. (English) Zbl 1422.62241 Scand. J. Stat. 44, No. 2, 425-454 (2017). MSC: 62J05 62H12 62G35 91B30 62F40 PDFBibTeX XMLCite \textit{V. Krätschmer} and \textit{H. Zähle}, Scand. J. Stat. 44, No. 2, 425--454 (2017; Zbl 1422.62241) Full Text: DOI arXiv
Liu, Yongchao; Meskarian, Rudabeh; Xu, Huifu Distributionally robust reward-risk ratio optimization with moment constraints. (English) Zbl 1365.90179 SIAM J. Optim. 27, No. 2, 957-985 (2017). MSC: 90C15 90C34 90C47 PDFBibTeX XMLCite \textit{Y. Liu} et al., SIAM J. Optim. 27, No. 2, 957--985 (2017; Zbl 1365.90179) Full Text: DOI
Orihuela, José; Zapata, José M. Stability in locally \(L^{0}\)-convex modules and a conditional version of James’ compactness theorem. (English) Zbl 1373.46001 J. Math. Anal. Appl. 452, No. 2, 1101-1127 (2017). MSC: 46A19 46A50 46H25 91G80 PDFBibTeX XMLCite \textit{J. Orihuela} and \textit{J. M. Zapata}, J. Math. Anal. Appl. 452, No. 2, 1101--1127 (2017; Zbl 1373.46001) Full Text: DOI arXiv
Liu, Yang; Zhang, Xingfang; Ma, Weimin A new uncertain insurance model with variational lower limit. (English) Zbl 1394.91224 Insur. Math. Econ. 74, 164-169 (2017). MSC: 91B30 60K10 28E10 62P05 PDFBibTeX XMLCite \textit{Y. Liu} et al., Insur. Math. Econ. 74, 164--169 (2017; Zbl 1394.91224) Full Text: DOI
Rieger, Marc Oliver Characterization of acceptance sets for co-monotone risk measures. (English) Zbl 1394.91337 Insur. Math. Econ. 74, 147-152 (2017). MSC: 91G70 91B30 PDFBibTeX XMLCite \textit{M. O. Rieger}, Insur. Math. Econ. 74, 147--152 (2017; Zbl 1394.91337) Full Text: DOI
Lauer, Alexandra; Zähle, Henryk Bootstrap consistency and bias correction in the nonparametric estimation of risk measures of collective risks. (English) Zbl 1394.62050 Insur. Math. Econ. 74, 99-108 (2017). MSC: 62G09 62G20 91B30 PDFBibTeX XMLCite \textit{A. Lauer} and \textit{H. Zähle}, Insur. Math. Econ. 74, 99--108 (2017; Zbl 1394.62050) Full Text: DOI
Grbić, T.; Medić, S.; Perović, A.; Mihailović, B.; Novković, N.; Duraković, N. A premium principle based on the \(g\)-integral. (English) Zbl 1364.28014 Stochastic Anal. Appl. 35, No. 3, 465-477 (2017). MSC: 28E10 91B30 PDFBibTeX XMLCite \textit{T. Grbić} et al., Stochastic Anal. Appl. 35, No. 3, 465--477 (2017; Zbl 1364.28014) Full Text: DOI
Toriello, Alejandro; Uhan, Nelson A. Dynamic linear programming games with risk-averse players. (English) Zbl 1366.91029 Math. Program. 163, No. 1-2 (A), 25-56 (2017). MSC: 91A25 90C15 90C05 PDFBibTeX XMLCite \textit{A. Toriello} and \textit{N. A. Uhan}, Math. Program. 163, No. 1--2 (A), 25--56 (2017; Zbl 1366.91029) Full Text: DOI
Meng, Qing-bin; Zhang, Xin; Bi, Jun-na On optimal proportional reinsurance and investment in a hidden Markov financial market. (English) Zbl 1409.91141 Acta Math. Appl. Sin., Engl. Ser. 33, No. 1, 53-62 (2017). MSC: 91B30 60J20 90C39 PDFBibTeX XMLCite \textit{Q.-b. Meng} et al., Acta Math. Appl. Sin., Engl. Ser. 33, No. 1, 53--62 (2017; Zbl 1409.91141) Full Text: DOI
El Methni, Jonathan; Stupfler, Gilles Extreme versions of Wang risk measures and their estimation for heavy-tailed distributions. (English) Zbl 1362.62183 Stat. Sin. 27, No. 2, 907-930 (2017). MSC: 62P05 62G32 60G70 91B30 91G70 PDFBibTeX XMLCite \textit{J. El Methni} and \textit{G. Stupfler}, Stat. Sin. 27, No. 2, 907--930 (2017; Zbl 1362.62183) Full Text: DOI HAL
Arai, Takuji Good deal bounds with convex constraints. (English) Zbl 1360.91159 Int. J. Theor. Appl. Finance 20, No. 2, Article ID 1750011, 15 p. (2017). MSC: 91G70 91G99 91B25 PDFBibTeX XMLCite \textit{T. Arai}, Int. J. Theor. Appl. Finance 20, No. 2, Article ID 1750011, 15 p. (2017; Zbl 1360.91159) Full Text: DOI arXiv
Grigorova, Miryana; Quenez, Marie-Claire Optimal stopping and a non-zero-sum Dynkin game in discrete time with risk measures induced by BSDEs. (English) Zbl 1410.91133 Stochastics 89, No. 1, 259-279 (2017). MSC: 91A60 60G40 60H10 PDFBibTeX XMLCite \textit{M. Grigorova} and \textit{M.-C. Quenez}, Stochastics 89, No. 1, 259--279 (2017; Zbl 1410.91133) Full Text: DOI arXiv
Wang, Wenyuan; Peng, Xingchun Reinsurer’s optimal reinsurance strategy with upper and lower premium constraints under distortion risk measures. (English) Zbl 1414.91241 J. Comput. Appl. Math. 315, 142-160 (2017). MSC: 91B30 62P05 PDFBibTeX XMLCite \textit{W. Wang} and \textit{X. Peng}, J. Comput. Appl. Math. 315, 142--160 (2017; Zbl 1414.91241) Full Text: DOI
Bernardi, M.; Durante, F.; Jaworski, P. Covar of families of copulas. (English) Zbl 1417.62298 Stat. Probab. Lett. 120, 8-17 (2017). MSC: 62P05 60E05 91G70 PDFBibTeX XMLCite \textit{M. Bernardi} et al., Stat. Probab. Lett. 120, 8--17 (2017; Zbl 1417.62298) Full Text: DOI
Gómez-Valle, L.; Habibilashkary, Z.; Martínez-Rodríguez, J. A new technique to estimate the risk-neutral processes in jump-diffusion commodity futures models. (English) Zbl 1410.91484 J. Comput. Appl. Math. 309, 435-441 (2017). MSC: 91G60 65D25 91G20 60J75 PDFBibTeX XMLCite \textit{L. Gómez-Valle} et al., J. Comput. Appl. Math. 309, 435--441 (2017; Zbl 1410.91484) Full Text: DOI
Psarrakos, Georgios; Toomaj, Abdolsaeed On the generalized cumulative residual entropy with applications in actuarial science. (English) Zbl 1469.62210 J. Comput. Appl. Math. 309, 186-199 (2017). MSC: 62E10 60E15 62B10 62P05 PDFBibTeX XMLCite \textit{G. Psarrakos} and \textit{A. Toomaj}, J. Comput. Appl. Math. 309, 186--199 (2017; Zbl 1469.62210) Full Text: DOI
Chen, Zhiping; Hu, Qianhui; Lin, Ruiyue Performance ratio-based coherent risk measure and its application. (English) Zbl 1468.91134 Quant. Finance 16, No. 5, 681-693 (2016). MSC: 91G10 91G70 PDFBibTeX XMLCite \textit{Z. Chen} et al., Quant. Finance 16, No. 5, 681--693 (2016; Zbl 1468.91134) Full Text: DOI
Wang, Ruodu Regulatory arbitrage of risk measures. (English) Zbl 1480.91326 Quant. Finance 16, No. 3, 337-347 (2016). Reviewer: Vassil Grozdanov (Blagoevgrad) MSC: 91G70 60G55 60G05 60G20 PDFBibTeX XMLCite \textit{R. Wang}, Quant. Finance 16, No. 3, 337--347 (2016; Zbl 1480.91326) Full Text: DOI
Yang, Li; Chen, Zhi Ping; Zhang, Feng Time consistency and time consistent generalized convex multistage risk measures. (English) Zbl 1433.91053 IMA J. Manag. Math. 27, No. 3, 419-437 (2016). MSC: 91G70 PDFBibTeX XMLCite \textit{L. Yang} et al., IMA J. Manag. Math. 27, No. 3, 419--437 (2016; Zbl 1433.91053) Full Text: DOI
Jiang, Chun-Fu; Peng, Hong-Yi; Yang, Yu-Kuan Tail variance of portfolio under generalized Laplace distribution. (English) Zbl 1410.91421 Appl. Math. Comput. 282, 187-203 (2016). MSC: 91G10 91B30 PDFBibTeX XMLCite \textit{C.-F. Jiang} et al., Appl. Math. Comput. 282, 187--203 (2016; Zbl 1410.91421) Full Text: DOI
Kromer, Eduard; Overbeck, Ludger A note on optimal risk sharing on \(L^p\) spaces. (English) Zbl 1408.91101 Oper. Res. Lett. 44, No. 2, 202-207 (2016). MSC: 91B30 90C29 91G10 91G70 PDFBibTeX XMLCite \textit{E. Kromer} and \textit{L. Overbeck}, Oper. Res. Lett. 44, No. 2, 202--207 (2016; Zbl 1408.91101) Full Text: DOI
Mitric, Ilie-Radu; Trufin, Julien On a risk measure inspired from the ruin probability and the expected deficit at ruin. (English) Zbl 1401.91175 Scand. Actuar. J. 2016, No. 10, 932-951 (2016). MSC: 91B30 60E15 PDFBibTeX XMLCite \textit{I.-R. Mitric} and \textit{J. Trufin}, Scand. Actuar. J. 2016, No. 10, 932--951 (2016; Zbl 1401.91175) Full Text: DOI Link
Cai, Jun; Weng, Chengguo Optimal reinsurance with expectile. (English) Zbl 1401.91106 Scand. Actuar. J. 2016, No. 7, 624-645 (2016). MSC: 91B30 62P05 PDFBibTeX XMLCite \textit{J. Cai} and \textit{C. Weng}, Scand. Actuar. J. 2016, No. 7, 624--645 (2016; Zbl 1401.91106) Full Text: DOI
Ridaoui, Mustapha; Grabisch, Michel Choquet integral calculus on a continuous support and its applications. (English) Zbl 1395.28003 Oper. Res. Decis. 26, No. 1, 73-110 (2016). MSC: 28E10 91B30 PDFBibTeX XMLCite \textit{M. Ridaoui} and \textit{M. Grabisch}, Oper. Res. Decis. 26, No. 1, 73--110 (2016; Zbl 1395.28003) Full Text: DOI
Benkhelifa, Lazhar Kernel-type estimators for the distortion risk premiums of heavy-tailed distributions. (English) Zbl 1401.62203 Scand. Actuar. J. 2016, No. 3, 262-278 (2016). MSC: 62P05 62G32 62G30 91B30 PDFBibTeX XMLCite \textit{L. Benkhelifa}, Scand. Actuar. J. 2016, No. 3, 262--278 (2016; Zbl 1401.62203) Full Text: DOI
Xu, Jun A risk attitudinal ranking approach of triangular intuitionistic fuzzy numbers and their application to MADM problems. (English) Zbl 1366.91071 J. Intell. Fuzzy Syst. 31, No. 6, 2919-2925 (2016). MSC: 91B06 91B30 PDFBibTeX XMLCite \textit{J. Xu}, J. Intell. Fuzzy Syst. 31, No. 6, 2919--2925 (2016; Zbl 1366.91071) Full Text: DOI
Xu, Yajuan; Wang, Guojing Pricing convertible bonds with counterparty credit risk in a reduced-form model. (Chinese. English summary) Zbl 1374.91128 Chin. J. Appl. Probab. Stat. 32, No. 5, 476-488 (2016). MSC: 91G20 91G40 PDFBibTeX XMLCite \textit{Y. Xu} and \textit{G. Wang}, Chin. J. Appl. Probab. Stat. 32, No. 5, 476--488 (2016; Zbl 1374.91128) Full Text: DOI
Xi, Huan; Su, Yuhua; Jiang, Wei Pricing geometric average trigger reset option with predetermined levels. (Chinese. English summary) Zbl 1374.91127 Math. Pract. Theory 46, No. 18, 37-44 (2016). MSC: 91G20 PDFBibTeX XMLCite \textit{H. Xi} et al., Math. Pract. Theory 46, No. 18, 37--44 (2016; Zbl 1374.91127)
Chen, Zhiping; Liu, Jia; Li, Gang; Yan, Zhe Composite time-consistent multi-period risk measure and its application in optimal portfolio selection. (English) Zbl 1409.91130 Top 24, No. 3, 515-540 (2016). MSC: 91B30 91G10 PDFBibTeX XMLCite \textit{Z. Chen} et al., Top 24, No. 3, 515--540 (2016; Zbl 1409.91130) Full Text: DOI
Peng, Xing-Chun; Hu, Yi-Jun Risk-based optimal investment and proportional reinsurance of an insurer with hidden regime switching. (English) Zbl 1360.91095 Acta Math. Appl. Sin., Engl. Ser. 32, No. 3, 755-770 (2016). MSC: 91B30 91G10 91G70 60H30 62M02 62P05 PDFBibTeX XMLCite \textit{X.-C. Peng} and \textit{Y.-J. Hu}, Acta Math. Appl. Sin., Engl. Ser. 32, No. 3, 755--770 (2016; Zbl 1360.91095) Full Text: DOI
Alexanderian, Alen; Gloor, Philip J.; Ghattas, Omar On Bayesian A- and D-optimal experimental designs in infinite dimensions. (English) Zbl 1359.62315 Bayesian Anal. 11, No. 3, 671-695 (2016). MSC: 62K05 62F15 PDFBibTeX XMLCite \textit{A. Alexanderian} et al., Bayesian Anal. 11, No. 3, 671--695 (2016; Zbl 1359.62315) Full Text: DOI arXiv Euclid
Prabakaran, S. Construction of risk-neutral measure in a Brownian motion with exotic option. (English) Zbl 1356.91090 Far East J. Math. Sci. (FJMS) 100, No. 10, 1643-1674 (2016). MSC: 91G20 35Q91 PDFBibTeX XMLCite \textit{S. Prabakaran}, Far East J. Math. Sci. (FJMS) 100, No. 10, 1643--1674 (2016; Zbl 1356.91090) Full Text: DOI Link
Kim, Ju Hong The maximal prior set in the representation of coherent risk measure. (English) Zbl 1358.60061 J. Korean Soc. Math. Educ., Ser. B, Pure Appl. Math. 23, No. 4, 377-383 (2016). MSC: 60G44 60H05 91G20 PDFBibTeX XMLCite \textit{J. H. Kim}, J. Korean Soc. Math. Educ., Ser. B, Pure Appl. Math. 23, No. 4, 377--383 (2016; Zbl 1358.60061) Full Text: DOI
Galkina, O. A. Investigation of multistage stochastic portfolio optimization problems. (English. Russian original) Zbl 1354.93173 Cybern. Syst. Anal. 52, No. 6, 857-866 (2016); translation from Kibern. Sist. Anal. 2016, No. 6, 30-39 (2016). MSC: 93E20 91G10 93C55 93B60 PDFBibTeX XMLCite \textit{O. A. Galkina}, Cybern. Syst. Anal. 52, No. 6, 857--866 (2016; Zbl 1354.93173); translation from Kibern. Sist. Anal. 2016, No. 6, 30--39 (2016) Full Text: DOI
Lazar, Daniel Conditional \(\Gamma\)-minimax prediction with a precautionary loss function in a marked point process model. (English) Zbl 1358.62076 Statistics 50, No. 6, 1411-1420 (2016). MSC: 62M20 60G55 60G57 62C10 62C20 62F35 91B30 PDFBibTeX XMLCite \textit{D. Lazar}, Statistics 50, No. 6, 1411--1420 (2016; Zbl 1358.62076) Full Text: DOI
Zhao, Yingzi; Chang, Yu; Cui, Jieqiong; Liu, Chunyan; Yang, Mingming; Lu, Fadian Multi-level fuzzy comprehensive evaluation for the analysis of forest fire risk in small areas. (Chinese. English summary) Zbl 1363.91054 J. Biomath. 31, No. 2, 185-194 (2016). MSC: 91B30 28E10 PDFBibTeX XMLCite \textit{Y. Zhao} et al., J. Biomath. 31, No. 2, 185--194 (2016; Zbl 1363.91054)
Chicoisne, Renaud; Ordóñez, Fernando Risk averse Stackelberg security games with quantal response. (English) Zbl 1448.91068 Zhu, Quanyan (ed.) et al., Decision and game theory for security. 7th international conference, GameSec 2016, New York, NY, USA, November 2–4, 2016. Proceedings. Cham: Springer. Lect. Notes Comput. Sci. 9996, 83-100 (2016). MSC: 91A65 91A80 91A68 PDFBibTeX XMLCite \textit{R. Chicoisne} and \textit{F. Ordóñez}, Lect. Notes Comput. Sci. 9996, 83--100 (2016; Zbl 1448.91068) Full Text: DOI
Preischl, Michael Bounds on integrals with respect to multivariate copulas. (English) Zbl 1414.91429 Depend. Model. 4, 277-287 (2016). MSC: 91G70 91G40 62H05 62P05 PDFBibTeX XMLCite \textit{M. Preischl}, Depend. Model. 4, 277--287 (2016; Zbl 1414.91429) Full Text: DOI arXiv
Bernard, Carole; McLeish, Don Algorithms for finding copulas minimizing convex functions of sums. (English) Zbl 1354.90057 Asia-Pac. J. Oper. Res. 33, No. 5, Article ID 1650040, 26 p. (2016). MSC: 90B50 91B30 90C25 PDFBibTeX XMLCite \textit{C. Bernard} and \textit{D. McLeish}, Asia-Pac. J. Oper. Res. 33, No. 5, Article ID 1650040, 26 p. (2016; Zbl 1354.90057) Full Text: DOI arXiv
Asimit, Alexandru V.; Li, Jinzhu Extremes for coherent risk measures. (English) Zbl 1371.91075 Insur. Math. Econ. 71, 332-341 (2016). MSC: 91B30 62P05 60G70 62G32 PDFBibTeX XMLCite \textit{A. V. Asimit} and \textit{J. Li}, Insur. Math. Econ. 71, 332--341 (2016; Zbl 1371.91075) Full Text: DOI Link
Ling, Chengxiu; Peng, Zuoxiang Tail asymptotics of generalized deflated risks with insurance applications. (English) Zbl 1371.91102 Insur. Math. Econ. 71, 220-231 (2016). MSC: 91B30 62G32 60G70 PDFBibTeX XMLCite \textit{C. Ling} and \textit{Z. Peng}, Insur. Math. Econ. 71, 220--231 (2016; Zbl 1371.91102) Full Text: DOI
Sordo, Miguel A.; Castaño-Martínez, Antonia; Pigueiras, Gema A family of premium principles based on mixtures of TVaRs. (English) Zbl 1373.62531 Insur. Math. Econ. 70, 397-405 (2016). MSC: 62P05 60E15 62B10 91B30 PDFBibTeX XMLCite \textit{M. A. Sordo} et al., Insur. Math. Econ. 70, 397--405 (2016; Zbl 1373.62531) Full Text: DOI
Boonen, Tim J.; Tan, Ken Seng; Zhuang, Sheng Chao The role of a representative reinsurer in optimal reinsurance. (English) Zbl 1371.91082 Insur. Math. Econ. 70, 196-204 (2016). MSC: 91B30 62P05 PDFBibTeX XMLCite \textit{T. J. Boonen} et al., Insur. Math. Econ. 70, 196--204 (2016; Zbl 1371.91082) Full Text: DOI
Brahimi, Brahim; Abdelli, Jihane Estimating the distortion parameter of the proportional hazards premium for heavy-tailed losses under Lévy-stable regime. (English) Zbl 1373.62512 Insur. Math. Econ. 70, 135-143 (2016). MSC: 62P05 62G32 91B30 PDFBibTeX XMLCite \textit{B. Brahimi} and \textit{J. Abdelli}, Insur. Math. Econ. 70, 135--143 (2016; Zbl 1373.62512) Full Text: DOI
Kley, Oliver; Klüppelberg, Claudia Bounds for randomly shared risk of heavy-tailed loss factors. (English) Zbl 1396.91304 Extremes 19, No. 4, 719-733 (2016). Reviewer: Hanspeter Schmidli (Köln) MSC: 91B30 91G70 62G32 PDFBibTeX XMLCite \textit{O. Kley} and \textit{C. Klüppelberg}, Extremes 19, No. 4, 719--733 (2016; Zbl 1396.91304) Full Text: DOI arXiv
Kromer, E.; Overbeck, L.; Zilch, K. Systemic risk measures on general measurable spaces. (English) Zbl 1371.91200 Math. Methods Oper. Res. 84, No. 2, 323-357 (2016). MSC: 91G99 90B10 46N10 PDFBibTeX XMLCite \textit{E. Kromer} et al., Math. Methods Oper. Res. 84, No. 2, 323--357 (2016; Zbl 1371.91200) Full Text: DOI
Brockhaus, A. Catharina; Grouven, Ulrich; Bender, Ralf Performance of the Peto odds ratio compared to the usual odds ratio estimator in the case of rare events. (English) Zbl 1353.62116 Biom. J. 58, No. 6, 1428-1444 (2016). MSC: 62P10 62-07 PDFBibTeX XMLCite \textit{A. C. Brockhaus} et al., Biom. J. 58, No. 6, 1428--1444 (2016; Zbl 1353.62116) Full Text: DOI
Cominetti, Roberto; Torrico, Alfredo Additive consistency of risk measures and its application to risk-averse routing in networks. (English) Zbl 1351.90060 Math. Oper. Res. 41, No. 4, 1510-1521 (2016). MSC: 90B15 90B20 49J55 60K30 PDFBibTeX XMLCite \textit{R. Cominetti} and \textit{A. Torrico}, Math. Oper. Res. 41, No. 4, 1510--1521 (2016; Zbl 1351.90060) Full Text: DOI arXiv
Postek, Krzysztof; den Hertog, Dick; Melenberg, Bertrand Computationally tractable counterparts of distributionally robust constraints on risk measures. (English) Zbl 1349.90767 SIAM Rev. 58, No. 4, 603-650 (2016). MSC: 90C30 90C25 PDFBibTeX XMLCite \textit{K. Postek} et al., SIAM Rev. 58, No. 4, 603--650 (2016; Zbl 1349.90767) Full Text: DOI Link
Ziegel, Johanna F. Coherence and elicitability. (English) Zbl 1390.91336 Math. Finance 26, No. 4, 901-918 (2016). Reviewer: Anatoliy Swishchuk (Calgary) MSC: 91G70 PDFBibTeX XMLCite \textit{J. F. Ziegel}, Math. Finance 26, No. 4, 901--918 (2016; Zbl 1390.91336) Full Text: DOI arXiv Link
Molchanov, Ilya; Cascos, Ignacio Multivariate risk measures: a constructive approach based on selections. (English) Zbl 1368.91183 Math. Finance 26, No. 4, 867-900 (2016). Reviewer: Tamás Mátrai (Budapest) MSC: 91G70 91G10 PDFBibTeX XMLCite \textit{I. Molchanov} and \textit{I. Cascos}, Math. Finance 26, No. 4, 867--900 (2016; Zbl 1368.91183) Full Text: DOI arXiv
Labopin-Richard, T.; Gamboa, F.; Garivier, A.; Iooss, B. Bregman superquantiles. Estimation methods and applications. (English) Zbl 1348.62076 Depend. Model. 4, 76-108 (2016). MSC: 62F12 62L12 62P05 62P30 PDFBibTeX XMLCite \textit{T. Labopin-Richard} et al., Depend. Model. 4, 76--108 (2016; Zbl 1348.62076) Full Text: DOI arXiv
Siu, Tak Kuen A functional Itô’s calculus approach to convex risk measures with jump diffusion. (English) Zbl 1346.91272 Eur. J. Oper. Res. 250, No. 3, 874-883 (2016). MSC: 91G80 60H30 60G57 91B30 93E20 PDFBibTeX XMLCite \textit{T. K. Siu}, Eur. J. Oper. Res. 250, No. 3, 874--883 (2016; Zbl 1346.91272) Full Text: DOI
Grechuk, Bogdan; Zabarankin, Michael Inverse portfolio problem with coherent risk measures. (English) Zbl 1346.91207 Eur. J. Oper. Res. 249, No. 2, 740-750 (2016). MSC: 91G10 91B30 PDFBibTeX XMLCite \textit{B. Grechuk} and \textit{M. Zabarankin}, Eur. J. Oper. Res. 249, No. 2, 740--750 (2016; Zbl 1346.91207) Full Text: DOI Link
Pflug, Georg Ch.; Pichler, Alois Time-inconsistent multistage stochastic programs: martingale bounds. (English) Zbl 1346.90646 Eur. J. Oper. Res. 249, No. 1, 155-163 (2016). MSC: 90C15 90C39 91B30 PDFBibTeX XMLCite \textit{G. Ch. Pflug} and \textit{A. Pichler}, Eur. J. Oper. Res. 249, No. 1, 155--163 (2016; Zbl 1346.90646) Full Text: DOI
Wang, Xing; Peng, Liang Inference for intermediate Haezendonck-Goovaerts risk measure. (English) Zbl 1369.91101 Insur. Math. Econ. 68, 231-240 (2016). MSC: 91B30 62P05 62G20 PDFBibTeX XMLCite \textit{X. Wang} and \textit{L. Peng}, Insur. Math. Econ. 68, 231--240 (2016; Zbl 1369.91101) Full Text: DOI
Belles-Sampera, Jaume; Guillen, Montserrat; Santolino, Miguel What attitudes to risk underlie distortion risk measure choices? (English) Zbl 1369.91076 Insur. Math. Econ. 68, 101-109 (2016). MSC: 91B30 28E10 62P05 PDFBibTeX XMLCite \textit{J. Belles-Sampera} et al., Insur. Math. Econ. 68, 101--109 (2016; Zbl 1369.91076) Full Text: DOI Link
Tian, Dejian; Jiang, Long Uncertainty orders on the sublinear expectation space. (English) Zbl 1346.60013 Open Math. 14, 247-259 (2016). MSC: 60E15 60H30 91B06 90B50 PDFBibTeX XMLCite \textit{D. Tian} and \textit{L. Jiang}, Open Math. 14, 247--259 (2016; Zbl 1346.60013) Full Text: DOI
Assa, Hirbod Natural risk measures. (English) Zbl 1404.91133 Math. Financ. Econ. 10, No. 4, 441-456 (2016). MSC: 91B30 PDFBibTeX XMLCite \textit{H. Assa}, Math. Financ. Econ. 10, No. 4, 441--456 (2016; Zbl 1404.91133) Full Text: DOI
Asmussen, Søren; Jensen, Jens Ledet; Rojas-Nandayapa, Leonardo Exponential family techniques for the lognormal left tail. (English) Zbl 1468.62257 Scand. J. Stat. 43, No. 3, 774-787 (2016). MSC: 62E10 62P20 PDFBibTeX XMLCite \textit{S. Asmussen} et al., Scand. J. Stat. 43, No. 3, 774--787 (2016; Zbl 1468.62257) Full Text: DOI arXiv
Bilina Falafala, Roseline; Jarrow, Robert A.; Protter, Philip Relative asset price bubbles. (English) Zbl 1398.91565 Ann. Finance 12, No. 2, 135-160 (2016). MSC: 91G20 60G44 PDFBibTeX XMLCite \textit{R. Bilina Falafala} et al., Ann. Finance 12, No. 2, 135--160 (2016; Zbl 1398.91565) Full Text: DOI
Xu, Yuhong Multidimensional dynamic risk measure via conditional \(g\)-expectation. (English) Zbl 1378.91128 Math. Finance 26, No. 3, 638-673 (2016). Reviewer: Pavel Stoynov (Sofia) MSC: 91G70 91G10 60H10 60H30 PDFBibTeX XMLCite \textit{Y. Xu}, Math. Finance 26, No. 3, 638--673 (2016; Zbl 1378.91128) Full Text: DOI arXiv
Granelli, Andrea; Veraart, Almut E. D. Modeling the variance risk premium of equity indices: the role of dependence and contagion. (English) Zbl 1395.91510 SIAM J. Financ. Math. 7, 382-417 (2016). Reviewer: Frank Oertel (London) MSC: 91G70 60G51 60G55 60H30 62P05 91B70 91G20 PDFBibTeX XMLCite \textit{A. Granelli} and \textit{A. E. D. Veraart}, SIAM J. Financ. Math. 7, 382--417 (2016; Zbl 1395.91510) Full Text: DOI
Stein, Harvey J. Fixing risk neutral risk measures. (English) Zbl 1403.91365 Int. J. Theor. Appl. Finance 19, No. 3, Article ID 1650021, 28 p. (2016). Reviewer: Pavel Stoynov (Sofia) MSC: 91G40 91B82 91G20 PDFBibTeX XMLCite \textit{H. J. Stein}, Int. J. Theor. Appl. Finance 19, No. 3, Article ID 1650021, 28 p. (2016; Zbl 1403.91365) Full Text: DOI
Pitera, Marcin; Stettner, Łukasz Long run risk sensitive portfolio with general factors. (English) Zbl 1341.93109 Math. Methods Oper. Res. 83, No. 2, 265-293 (2016). MSC: 93E20 91G10 91G80 60J05 PDFBibTeX XMLCite \textit{M. Pitera} and \textit{Ł. Stettner}, Math. Methods Oper. Res. 83, No. 2, 265--293 (2016; Zbl 1341.93109) Full Text: DOI arXiv
Zhuang, Sheng Chao; Weng, Chengguo; Tan, Ken Seng; Assa, Hirbod Marginal indemnification function formulation for optimal reinsurance. (English) Zbl 1348.91196 Insur. Math. Econ. 67, 65-76 (2016). MSC: 91B30 91B16 62P05 PDFBibTeX XMLCite \textit{S. C. Zhuang} et al., Insur. Math. Econ. 67, 65--76 (2016; Zbl 1348.91196) Full Text: DOI
Petters, Arlie O.; Dong, Xiaoying An introduction to mathematical finance with applications. Understanding and building financial intuition. (English) Zbl 1348.91002 Springer Undergraduate Texts in Mathematics and Technology. Cham: Springer (ISBN 978-1-4939-3781-3/hbk; 978-1-4939-3783-7/ebook). xvii, 483 p. (2016). Reviewer: Anatoliy Swishchuk (Calgary) MSC: 91-01 91Gxx 91B30 91B70 60H30 62P05 PDFBibTeX XMLCite \textit{A. O. Petters} and \textit{X. Dong}, An introduction to mathematical finance with applications. Understanding and building financial intuition. Cham: Springer (2016; Zbl 1348.91002) Full Text: DOI
Lee, Hyunju; Cha, Ji Hwan Point process approach to modeling and analysis of general cascading failure models. (English) Zbl 1337.60226 J. Appl. Probab. 53, No. 1, 174-186 (2016). MSC: 60K10 60G55 90B25 62P30 PDFBibTeX XMLCite \textit{H. Lee} and \textit{J. H. Cha}, J. Appl. Probab. 53, No. 1, 174--186 (2016; Zbl 1337.60226) Full Text: DOI Euclid
Falbo, Paolo; Hinz, Juri Risk aversion in modeling of cap-and-trade mechanism and optimal design of emission markets. (English) Zbl 1334.91055 Benth, Fred Espen (ed.) et al., Stochastics of environmental and financial economics. Centre of Advanced Study, Oslo, Norway, 2014–2015. Cham: Springer (ISBN 978-3-319-23424-3/hbk; 978-3-319-23425-0/ebook). Springer Proceedings in Mathematics & Statistics 138, 265-284 (2016). MSC: 91B76 PDFBibTeX XMLCite \textit{P. Falbo} and \textit{J. Hinz}, Springer Proc. Math. Stat. 138, 265--284 (2016; Zbl 1334.91055) Full Text: DOI
Hoffmann, Hannes; Meyer-Brandis, Thilo; Svindland, Gregor Risk-consistent conditional systemic risk measures. (English) Zbl 1414.91423 Stochastic Processes Appl. 126, No. 7, 2014-2037 (2016). MSC: 91G70 91B30 62P05 PDFBibTeX XMLCite \textit{H. Hoffmann} et al., Stochastic Processes Appl. 126, No. 7, 2014--2037 (2016; Zbl 1414.91423) Full Text: DOI arXiv
Li, Xiaoou; Liu, Jingchen; Xu, Gongjun On the tail probabilities of aggregated lognormal random fields with small noise. (English) Zbl 1336.60100 Math. Oper. Res. 41, No. 1, 236-246 (2016). MSC: 60G60 60G15 60F99 91G10 91B30 91G80 PDFBibTeX XMLCite \textit{X. Li} et al., Math. Oper. Res. 41, No. 1, 236--246 (2016; Zbl 1336.60100) Full Text: DOI Link
Benth, Fred Espen; Zdanowicz, Hanna Pricing and hedging of energy spread options and volatility modulated Volterra processes. (English) Zbl 1406.91434 Int. J. Theor. Appl. Finance 19, No. 1, Article ID 1650002, 22 p. (2016). MSC: 91G20 91G70 PDFBibTeX XMLCite \textit{F. E. Benth} and \textit{H. Zdanowicz}, Int. J. Theor. Appl. Finance 19, No. 1, Article ID 1650002, 22 p. (2016; Zbl 1406.91434) Full Text: DOI arXiv
Branda, Martin Mean-value at risk portfolio efficiency: approaches based on data envelopment analysis models with negative data and their empirical behaviour. (English) Zbl 1335.91060 4OR 14, No. 1, 77-99 (2016). MSC: 91G10 90B50 90C15 PDFBibTeX XMLCite \textit{M. Branda}, 4OR 14, No. 1, 77--99 (2016; Zbl 1335.91060) Full Text: DOI
Roorda, Berend; Schumacher, Johannes M. Weakly time consistent concave valuations and their dual representations. (English) Zbl 1339.91064 Finance Stoch. 20, No. 1, 123-151 (2016). Reviewer: Jonas Šiaulys (Vilnius) MSC: 91B30 91G99 46A20 46N10 PDFBibTeX XMLCite \textit{B. Roorda} and \textit{J. M. Schumacher}, Finance Stoch. 20, No. 1, 123--151 (2016; Zbl 1339.91064) Full Text: DOI
Wei, Li; Yuan, Zhongyi The loss given default of a low-default portfolio with weak contagion. (English) Zbl 1348.91187 Insur. Math. Econ. 66, 113-123 (2016). MSC: 91B30 62H05 62E20 62P05 91G40 PDFBibTeX XMLCite \textit{L. Wei} and \textit{Z. Yuan}, Insur. Math. Econ. 66, 113--123 (2016; Zbl 1348.91187) Full Text: DOI
Asimit, Alexandru V.; Gerrard, Russell On the worst and least possible asymptotic dependence. (English) Zbl 1329.60144 J. Multivariate Anal. 144, 218-234 (2016). MSC: 60G70 62G32 62H20 PDFBibTeX XMLCite \textit{A. V. Asimit} and \textit{R. Gerrard}, J. Multivariate Anal. 144, 218--234 (2016; Zbl 1329.60144) Full Text: DOI
Boutsikas, M. V.; Rakitzis, A. C.; Antzoulakos, D. L. On the number of claims until ruin in a two-barrier renewal risk model with Erlang mixtures. (English) Zbl 1339.60127 J. Comput. Appl. Math. 294, 124-137 (2016). MSC: 60K05 60G40 91B30 62P05 65C50 PDFBibTeX XMLCite \textit{M. V. Boutsikas} et al., J. Comput. Appl. Math. 294, 124--137 (2016; Zbl 1339.60127) Full Text: DOI
Gatto, Riccardo; Peeters, Chantal Saddlepoint approximations to sensitivities of tail probabilities of random sums and comparisons with Monte Carlo estimators. (English) Zbl 1458.60060 J. Stat. Comput. Simulation 85, No. 4, 641-659 (2015); erratum ibid. 85, No. 4, i (2015). MSC: 60G70 60G50 60-08 62P05 65C05 91B05 PDFBibTeX XMLCite \textit{R. Gatto} and \textit{C. Peeters}, J. Stat. Comput. Simulation 85, No. 4, 641--659 (2015; Zbl 1458.60060) Full Text: DOI Link
Tian, Weizhong; Wang, Tonghui; Hu, Liangjian; Tran, Hien D. Distortion risk measures under skew normal settings. (English) Zbl 1418.91614 Huynh, Van-Nam (ed.) et al., Econometrics of risk. Cham: Springer. Stud. Comput. Intell. 583, 135-148 (2015). MSC: 91G70 PDFBibTeX XMLCite \textit{W. Tian} et al., Stud. Comput. Intell. 583, 135--148 (2015; Zbl 1418.91614) Full Text: DOI
Fujii, Masaaki; Takahashi, Akihiko Optimal hedging for fund and insurance managers with partially observable investment flows. (English) Zbl 1396.91300 Quant. Finance 15, No. 3, 535-551 (2015). MSC: 91B30 91G20 60H10 PDFBibTeX XMLCite \textit{M. Fujii} and \textit{A. Takahashi}, Quant. Finance 15, No. 3, 535--551 (2015; Zbl 1396.91300) Full Text: DOI arXiv
Benth, Fred Espen; Di Nunno, Giulia; Khedher, Asma; Schmeck, Maren Diane Pricing of spread options on a bivariate jump market and stability to model risk. (English) Zbl 1396.91717 Appl. Math. Finance 22, No. 1-2, 28-62 (2015). MSC: 91G20 60J75 PDFBibTeX XMLCite \textit{F. E. Benth} et al., Appl. Math. Finance 22, No. 1--2, 28--62 (2015; Zbl 1396.91717) Full Text: DOI
Cooper, Ricky; Ong, Michael; Van Vliet, Ben Multi-scale capability: a better approach to performance measurement for algorithmic trading. (English) Zbl 1419.91580 Algorithm. Finance 4, No. 1-2, 53-68 (2015). MSC: 91G10 91G60 PDFBibTeX XMLCite \textit{R. Cooper} et al., Algorithm. Finance 4, No. 1--2, 53--68 (2015; Zbl 1419.91580) Full Text: DOI
Guillou, Armelle; Naveau, Philippe; You, Alexandre A folding methodology for multivariate extremes: estimation of the spectral probability measure and actuarial applications. (English) Zbl 1401.62209 Scand. Actuar. J. 2015, No. 7, 549-572 (2015). MSC: 62P05 62M15 91B30 60G55 60G70 PDFBibTeX XMLCite \textit{A. Guillou} et al., Scand. Actuar. J. 2015, No. 7, 549--572 (2015; Zbl 1401.62209) Full Text: DOI HAL
Powers, Michael R.; Powers, Thomas Y. Fourier-analytic measures for heavy-tailed insurance losses. (English) Zbl 1401.91184 Scand. Actuar. J. 2015, No. 6, 527-547 (2015). MSC: 91B30 62G32 62P05 PDFBibTeX XMLCite \textit{M. R. Powers} and \textit{T. Y. Powers}, Scand. Actuar. J. 2015, No. 6, 527--547 (2015; Zbl 1401.91184) Full Text: DOI
Hamza, Kais; Klebaner, Fima C.; Landsman, Zinoviy; Tan, Ying-Oon Option pricing for symmetric Lévy returns with applications. (English) Zbl 1368.91171 Asia-Pac. Financ. Mark. 22, No. 1, 27-52 (2015). MSC: 91G20 60G51 PDFBibTeX XMLCite \textit{K. Hamza} et al., Asia-Pac. Financ. Mark. 22, No. 1, 27--52 (2015; Zbl 1368.91171) Full Text: DOI arXiv
Patkin, I. D. Description martingale measures for a single evolution of risky assets. (Ukrainian. English summary) Zbl 1363.91139 Visn., Ser. Fiz.-Mat. Nauky, Kyïv. Univ. Im. Tarasa Shevchenka 2015, No. 3, 25-28 (2015). MSC: 91G80 60G57 PDFBibTeX XMLCite \textit{I. D. Patkin}, Visn., Ser. Fiz.-Mat. Nauky, Kyïv. Univ. Im. Tarasa Shevchenka 2015, No. 3, 25--28 (2015; Zbl 1363.91139)
Diao, Xundi; Tong, bin; Wu, Chongfeng Extremal spectral risk measures and their applications in financial risk management. (Chinese. English summary) Zbl 1349.91320 J. Syst. Eng. 30, No. 3, 354-369, 405 (2015). MSC: 91G70 62P05 60G70 PDFBibTeX XMLCite \textit{X. Diao} et al., J. Syst. Eng. 30, No. 3, 354--369, 405 (2015; Zbl 1349.91320) Full Text: DOI
Xun, Li; Dong, Nana; Wang, Dehui Capital allocation based on Haezendonck-Goovaerts risk measure. (Chinese. English summary) Zbl 1349.91162 J. Jilin Univ., Sci. 53, No. 4, 634-640 (2015). MSC: 91B30 91G10 91G70 PDFBibTeX XMLCite \textit{L. Xun} et al., J. Jilin Univ., Sci. 53, No. 4, 634--640 (2015; Zbl 1349.91162) Full Text: DOI
Wang, Hongxia The method of risk measuring based on set-valued Choquet integrals. (Chinese. English summary) Zbl 1349.91157 Fuzzy Syst. Math. 29, No. 4, 62-70 (2015). MSC: 91B30 62P05 28B20 28E10 PDFBibTeX XMLCite \textit{H. Wang}, Fuzzy Syst. Math. 29, No. 4, 62--70 (2015; Zbl 1349.91157)
Zhang, Yi; Zhou, Dongqiong; Wen, Limin Bayesian estimation of TVaR measure under Pareto-Gamma models. (Chinese. English summary) Zbl 1349.91325 Chin. J. Eng. Math. 32, No. 5, 667-676 (2015). MSC: 91G70 62F15 PDFBibTeX XMLCite \textit{Y. Zhang} et al., Chin. J. Eng. Math. 32, No. 5, 667--676 (2015; Zbl 1349.91325) Full Text: DOI
Wei, Linxiao; Ma, Yue; Hu, Yijun Risk measures with comonotonic subadditivity or convexity on product spaces. (English) Zbl 1349.91159 Appl. Math., Ser. B (Engl. Ed.) 30, No. 4, 407-417 (2015). MSC: 91B30 91G10 28E10 PDFBibTeX XMLCite \textit{L. Wei} et al., Appl. Math., Ser. B (Engl. Ed.) 30, No. 4, 407--417 (2015; Zbl 1349.91159) Full Text: DOI
N’Guessan, Assi; Geraldo, Issa Cherif A cyclic algorithm for maximum likelihood estimation using Schur complement. (English) Zbl 1349.65051 Numer. Linear Algebra Appl. 22, No. 6, 1161-1179 (2015). Reviewer: Hang Lau (Montréal) MSC: 65C60 90B20 62P12 62F10 65K05 90C53 PDFBibTeX XMLCite \textit{A. N'Guessan} and \textit{I. C. Geraldo}, Numer. Linear Algebra Appl. 22, No. 6, 1161--1179 (2015; Zbl 1349.65051) Full Text: DOI
Csiszár, Imre; Breuer, Thomas An information geometry problem in mathematical finance. (English) Zbl 1405.94027 Nielsen, Frank (ed.) et al., Geometric science of information. Second international conference, GSI 2015, Palaiseau, France, October 28–30, 2015. Proceedings. Cham: Springer (ISBN 978-3-319-25039-7/pbk; 978-3-319-25040-3/ebook). Lecture Notes in Computer Science 9389, 435-443 (2015). MSC: 94A15 94A17 91G99 PDFBibTeX XMLCite \textit{I. Csiszár} and \textit{T. Breuer}, Lect. Notes Comput. Sci. 9389, 435--443 (2015; Zbl 1405.94027) Full Text: DOI