Modeling, Measuring and Managing Risk

By Georg Ch. Pflug, Werner Römisch. 2008

453 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/891c16203e036ea93efe761bdfbbad11652eeb99

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Citations in the corpus

Lectures on Stochastic Programming: Modeling and Theory (2009, background): “The theory of dynamic measures of risk in discrete time was developed in Artzner, Delbaen, Eber, Heath and Ku [9], Cheridito, Delbaen and Kupper [37], Detlefsen and Scandolo [67], Eichhorn and Römisch [74], Pflug and Römisch [182], Pflug and”
Risk-averse dynamic programming for Markov decision processes (2010, background): “We may remark that condition (7) is a form of the translation property, discussed in various settings in [2,19,38].”
Multistage Stochastic Programming: A Scenario Tree Based Approach to Planning under Uncertainty (2011, background): “Besides the expectation, more sophisticated ways to aggregate the distribution of f into a single measure of performance have been investigated (Pflug & Römisch, 2007).”
Fairness risk measures (2019, background): “We now show the intimate relationship between fairness risk measures and two classes of risk measures widely studied in ﬁnance and operations research [Artzner et al., 1999, Pﬂug and Romisch, 2007, Krokhmal et al., 2011, F¨ollmer and Schied, 2011, Rockafellar and Uryasev, 2013].”
Risk management with expectiles (2017, unknown): “We refer to Delbaen (2012), Föllmer and Schied (2011) or Pflug and Romisch (2007) for textbook treatments.”
Statistical estimation of composite risk functionals and risk optimization problems (2015, methodology): “This result is extended to the setting of Lp spaces with p ∈ [1,∞); see Frittelli and RosazzaGianin (2005), Pflug and Römisch (2007), Pflug and Wozabal (2010), Shapiro et al. (2009), Dentcheva et al. (2010), and the references therein.”
The natural Banach space for version independent risk measures (2013, background): “g the initial attempts to introduce premium principles to price insurance contracts are distorted probabilities, a concept which can be summarized nowadays by distorted acceptability functionals (cf. [20]) or spectral risk measures. Spectral risk measures—or the weighted Value-at-Risk (cf. [8]), whi”