Mathematical Risk Analysis

By Ludger Rüschendorf. 2013

268 citations recorded by the source corpus.

Subfields: Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/bed3485a6171ecff03d0676d523806d92c27ea9a

How researchers see this paper

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In Management Science and Operations Research

1. Kalyan Veeramachaneni
2. Marius Hofert
3. Paul Embrechts
4. Samuel A. Assefa
5. Ludger Rüschendorf
6. Andrew J. Patton
7. Claudia Czado
8. Fabrizio Durante

Citations in the corpus

• Value-at-Risk Bounds with Variance Constraints (2015, unknown): “The idea of this result can be found in Theorems 2.3 and 2.5 of Puccetti and Rüschendorf (2012b).”
• Admissible ways of merging p-values under arbitrary dependence (2020, unknown): “…define the operator as Using a classic duality theorem (see, e.g., R¨uschendorf (2013, Theorem 2.3)), we have min Indeed, part (a) of Theorem 2.3 in R¨uschendorf (2013) gives the equality with inf in place of min and with P ranging over the probability measures on [0 , 1] K with the uniform…”
• The Synthetic Data Vault (2016, background): “However, the shape of the distributions might unnecessarily influence the covariance estimates [4].”
• Statistics and Quantitative Risk Management for Banking and Insurance (2014, background): “The reference on the topic, from a more mathematical point of view is Rüschendorf (2013).”