Monetary utility functions
By Freddy Delbaen. 2012
127 citations recorded by the source corpus.
View Paper: https://www.semanticscholar.org/paper/019ecb8218db329748b66a8c1ce08f1ec3edf8d2
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Citations in the corpus
- Risk management with expectiles (2017, methodology): “We refer to Delbaen (2012), Föllmer and Schied (2011) or Pflug and Romisch (2007) for textbook treatments.”
- Higher order elicitability and Osband’s principle (2015, methodology): “denotes a profit. Moreover, the position Y is considered the more risky the smaller ρ(Y) is. Strictly speaking, we have chosen to work with utility functions instead of risk measures as for example in Delbaen (2012). The risk measure ρis called comonotonically additive if ρ(X+Y) = ρ(X)+ρ(Y) for comon”
- MULTIVARIATE RISK MEASURES: A CONSTRUCTIVE APPROACH BASED ON SELECTIONS (2013, background): “The family Z∗ determines the coherent risk measure r∗ called the convex convolution of r1, . . . , rd , see Delbaen (2012).”
- Gini-Type Measures of Risk and Variability: Gini Shortfall, Capital Allocations, and Heavy-Tailed Risks (2017, unknown): “We refer to Föllmer and Schied (2011, Chapter 4), Delbaen (2012), and McNeil et al. (2015) for interpretations of these properties.”
- Statistics and Quantitative Risk Management for Banking and Insurance (2014, background): “From a more mathematical point of view, recent research on risk measures borrows a lot from Functional Analysis; see Delbaen (2012).”
- Robust return risk measures (2017, unknown): “We refer the interested reader to [1,2,10,11,13,21,28,34] and the references therein for further properties of Orlicz premia and Orlicz spaces and their use in risk measurement and portfolio choice.”