RISK MEASURES AND CAPITAL REQUIREMENTS FOR PROCESSES

By Marco Frittelli, Giacomo Scandolo. 2006

192 citations recorded by the source corpus.

Subfields: Demography, Finance, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/20775715108763510f4caf499b234179aa32d086

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Citations in the corpus

A dual characterization of self-generation and exponential forward performances (2008, unknown): “Recently, it has been used in the context of risk measures and their generalizations (see [13] and [15], among many other instances).”
CASH SUBADDITIVE RISK MEASURES AND INTEREST RATE AMBIGUITY (2007, background): “3 See Filipovic (2008) for the impact of risky numéraire on capital requirements.”
Optimal reinsurance with general risk measures (2009, unknown): “…also studied in Burgert and Rüschendorf (2006), Goovaerts et al. (2004b) and Goovaerts and Laeven (2008) have introduced mixtures of exponentials, Frittelli and Scandolo (2005) have analyzed risk measures for stochastic processes, and Rockafellar et al. (2006) have defined the deviations and the…”
Conditional and dynamic convex risk measures (2005, background): “In [10] the entropic risk measures have been characterized as the only ones - apart from those induced by linear utilities - for which and ′ coincide.”
Risk-averse dynamic programming for Markov decision processes (2010, background): “Our view is close to [19], who consider risk of a sequence of payoffs.”
Dynamic risk measures (2010, background): “Risk measures for processes were studied in [4, 30, 10, 11, 12, 13, 24, 25, 1].”
VALUATIONS AND DYNAMIC CONVEX RISK MEASURES (2007, background): “…less general than the one considered by Artzner et al. (2007) and will be commented on later), Peng (1997, 2005), Frittelli and Rosazza Gianin (2004), Frittelli and Scandolo (2006) for further dynamic risk measures, and Gilboa and Schmeidler (1989), Epstein and Schneider (2003) for related…”
Dynamic Monetary Risk Measures for Bounded Discrete-Time Processes (2004, background): “Frittelli and Scandolo (2005) study static risk measures for cash-flow streams in a discrete-time framework.”
Lectures on Stochastic Programming: Modeling and Theory (2009, background): “In the finance literature time consistency is usually defined via the composition property of dynamic risk measures; see, Artzner, Delbaen, Eber, Heath and Ku [9], BionNadal [20, 21], Cheridito, Delbaen and Kupper [38], Cheridito and Kupper [39], Föllmer and Penner [79], Frittelli and Scandolo [81],”