create a website

A note on the induction of comonotonic additive risk measures from acceptance sets. (2024). Santos, Samuel S ; Moresco, Marlon R ; Righi, Marcelo B ; Horta, Eduardo.
In: Statistics & Probability Letters.
RePEc:eee:stapro:v:208:y:2024:i:c:s0167715224000130.

Full description at Econpapers || Download paper

Cited: 0

Citations received by this document

Cites: 39

References cited by this document

Cocites: 50

Documents which have cited the same bibliography

Coauthors: 0

Authors who have wrote about the same topic

Citations

Citations received by this document

    This document has not been cited yet.

References

References cited by this document

  1. Acciaio, B. ; Penner, I. Dynamic risk measures. 2011 En : Advanced Mathematical Methods for Finance. Springer:
    Paper not yet in RePEc: Add citation now
  2. Acerbi, C. Spectral measures of risk: A coherent representation of subjective risk aversion. 2002 J. Bank. Financ.. 26 1505-1518

  3. Artzner, P. ; Delbaen, F. ; Eber, J.-M. ; Heath, D. Coherent measures of risk. 1999 Math. Finance Int. J. Math. Stat. Financ. Econ.. 9 203-228

  4. Artzner, P. ; Delbaen, F. ; Koch-Medina, P. Risk measures and efficient use of capital. 2009 Astin Bull.. 39 101-116

  5. Bellini, F. ; Bignozzi, V. On elicitable risk measures. 2015 Quant. Finance. 15 725-733

  6. Castagnoli, E. ; Cattelan, G. ; Maccheroni, F. ; Tebaldi, C. ; Wang, R. Star-shaped risk measures. 2022 Oper. Res.. 70 2637-2654

  7. Cont, R. ; Deguest, R. ; Scandolo, G. Robustness and sensitivity analysis of risk measurement procedures. 2010 Quant. Finance. 10 593-606

  8. Danielsson, J. ; Embrechts, P. ; Goodhart, C. ; Keating, C. ; Muennich, F. ; Renault, O. ; Shin, H.S. An Academic Response to Basel II. 2001 FMG Zurich:
    Paper not yet in RePEc: Add citation now
  9. Delbaen, F. . 2011 En : Monetary Utility Functions. Osaka University Press: 2012.3
    Paper not yet in RePEc: Add citation now
  10. Delbaen, F. Coherent risk measures on general probability spaces. 2002 En : Advances in Finance and Stochastics. Springer:
    Paper not yet in RePEc: Add citation now
  11. Denuit, M. ; Dhaene, J. Simple characterizations of comonotonicity and countermonotonicity by extremal correlations. 2003 Belg. Actuar. Bull.. 3 22-27
    Paper not yet in RePEc: Add citation now
  12. Dhaene, J. ; Kukush, A. ; Linders, D. Comonotonic asset prices in arbitrage-free markets. 2020 J. Comput. Appl. Math.. 364 -
    Paper not yet in RePEc: Add citation now
  13. Dhaene, J. ; Laeven, R.J. ; Vanduffel, S. ; Darkiewicz, G. ; Goovaerts, M.J. Can a coherent risk measure be too subadditive?. 2008 J. Risk Insurance. 75 365-386

  14. Embrechts, P. ; Puccetti, G. ; Rüschendorf, L. ; Wang, R. ; Beleraj, A. An academic response to Basel 3.5. 2014 Risks. 2 25-48

  15. Föllmer, H. ; Schied, A. Convex measures of risk and trading constraints. 2002 Finance Stoch.. 6 429-447

  16. Föllmer, H. ; Schied, A. Stochastic Finance: An Introduction in Discrete Time. 2016 de Gruyter:
    Paper not yet in RePEc: Add citation now
  17. Goovaerts, M.J. ; Kaas, R. ; Laeven, R.J. A note on additive risk measures in rank-dependent utility. 2010 Insurance Math. Econom.. 47 187-189

  18. Goovaerts, M.J. ; Kaas, R. ; Laeven, R.J. ; Tang, Q. A comonotonic image of independence for additive risk measures. 2004 Insurance Math. Econom.. 35 581-594

  19. Heyde, C. ; Kou, S. ; Peng, X. What is a Good External Risk Measure: Bridging the Gaps Between Robustness, Subadditivity, and Insurance Risk Measures. 2007 Columbia University:
    Paper not yet in RePEc: Add citation now
  20. Jia, G. ; Xia, J. ; Zhao, R. Monetary risk measures. 2020 :

  21. Jouini, E. ; Napp, C. Conditional comonotonicity. 2004 Decis. Econ. Finance. 27 153-166

  22. Kou, S. ; Peng, X. On the measurement of economic tail risk. 2016 Oper. Res.. 64 1056-1072

  23. Kou, S. ; Peng, X. ; Heyde, C.C. External risk measures and basel accords. 2013 Math. Oper. Res.. 38 393-417

  24. Markowitz, H. Portfolio Selection. 1952 J. Finance. 7 -

  25. Moresco, M. ; Brutti Righi, M. ; Horta, E. Minkowski deviation measures. 2023 Stat. Risk Model.. 40 1-19
    Paper not yet in RePEc: Add citation now
  26. Moresco, M.R. ; Righi, M.B. On the link between monetary and star-shaped risk measures. 2022 Statist. Probab. Lett.. 184 -

  27. Nendel, M. ; Riedel, F. ; Schmeck, M.D. A decomposition of general premium principles into risk and deviation. 2021 Insurance Math. Econom.. 100 193-209

  28. Pflug, G.C. ; Romisch, W. Modeling, Measuring and Managing Risk. 2007 World Scientific: Singapore

  29. Rau-Bredow, H. Bigger is not always safer: a critical analysis of the subadditivity assumption for coherent risk measures. 2019 Risks. 7 91-

  30. Rieger, M.O. Characterization of acceptance sets for co-monotone risk measures. 2017 Insurance Math. Econom.. 74 147-152

  31. Righi, M.B. A composition between risk and deviation measures. 2019 Ann. Oper. Res.. 282 299-313

  32. Righi, M.B. Star-shaped acceptability indexes. 2021 :
    Paper not yet in RePEc: Add citation now
  33. Righi, M.B. ; Moresco, M.R. Star-shaped deviations. 2022 Oper. Res. Lett.. 50 548-554

  34. Rockafellar, R.T. ; Uryasev, S. ; Zabarankin, M. Generalized deviations in risk analysis. 2006 Finance Stoch.. 10 51-74

  35. Rüschendorf, L. . 2013 En : Mathematical Risk Analysis: Dependence, Risk Bounds, Optimal Allocations and Portfolios. Springer: Heidelberg, Germany
    Paper not yet in RePEc: Add citation now
  36. Tsanakas, A. To split or not to split: Capital allocation with convex risk measures. 2009 Insurance Math. Econom.. 44 268-277

  37. Wang, S. ; Dhaene, J. Comonotonicity, correlation order and premium principles. 1998 Insurance Math. Econom.. 22 235-242

  38. Wang, S.S. ; Young, V.R. ; Panjer, H.H. Axiomatic characterization of insurance prices. 1997 Insurance Math. Econ.. 21 173-183

  39. Yaari, M.E. The dual theory of choice under risk. 1987 Econometrica. 55 95-115

Cocites

Documents in RePEc which have cited the same bibliography

  1. Adjusted Expected Shortfall. (2021). Wang, Ruodu ; Burzoni, Matteo ; Munari, Cosimo.
    In: Papers.
    RePEc:arx:papers:2007.08829.

    Full description at Econpapers || Download paper

  2. On the Measurement of Economic Tail Risk. (2015). Peng, Xianhua ; Kou, Steven.
    In: Papers.
    RePEc:arx:papers:1401.4787.

    Full description at Econpapers || Download paper

  3. Bayesian estimation of probabilities of default for low default portfolios. (2013). Tasche, Dirk.
    In: Papers.
    RePEc:arx:papers:1112.5550.

    Full description at Econpapers || Download paper

  4. Loss-Based Risk Measures. (2013). He, Xuedong ; Deguest, Romain ; Cont, Rama.
    In: Papers.
    RePEc:arx:papers:1110.1436.

    Full description at Econpapers || Download paper

  5. Tight Approximations of Dynamic Risk Measures. (2013). Huang, PU ; Petrik, Marek ; Subramanian, Dharmashankar ; Iancu, Dan A..
    In: Papers.
    RePEc:arx:papers:1106.6102.

    Full description at Econpapers || Download paper

  6. Modelling energy spot prices: Empirical evidence from NYMEX. (2012). Nomikos, Nikos ; Andriosopoulos, Kostas.
    In: Energy Economics.
    RePEc:eee:eneeco:v:34:y:2012:i:4:p:1153-1169.

    Full description at Econpapers || Download paper

  7. Evaluating the Precision of Estimators of Quantile-Based Risk Measures. (2011). cotter, john ; Dowd, Kevin.
    In: Working Papers.
    RePEc:ucd:wpaper:2007/43.

    Full description at Econpapers || Download paper

  8. Spectral Risk Measures with an Application to Futures Clearinghouse Variation Margin Requirements. (2011). cotter, john ; Dowd, Kevin.
    In: Working Papers.
    RePEc:ucd:wpaper:2007/42.

    Full description at Econpapers || Download paper

  9. Spectral Risk Measures with an Application to Futures Clearinghouse Variation Margin Requirements. (2011). cotter, john ; Dowd, Kevin.
    In: Working Papers.
    RePEc:ucd:wpaper:2006/16.

    Full description at Econpapers || Download paper

  10. Estimating Financial Risk Measures for Futures Positions:A Non-Parametric Approach. (2011). cotter, john ; Dowd, Kevin.
    In: Working Papers.
    RePEc:ucd:wpaper:2006/13.

    Full description at Econpapers || Download paper

  11. Extreme Spectral Risk Measures: An Application to Futures Clearinghouse Margin Requirements. (2011). cotter, john ; Dowd, Kevin.
    In: Working Papers.
    RePEc:ucd:wpaper:2005/16.

    Full description at Econpapers || Download paper

  12. Rates of almost sure convergence of plug-in estimates for distortion risk measures. (2011). Zahle, Henryk.
    In: Metrika: International Journal for Theoretical and Applied Statistics.
    RePEc:spr:metrik:v:74:y:2011:i:2:p:267-285.

    Full description at Econpapers || Download paper

  13. Loss-Based Risk Measures. (2011). He, Xuedong ; Deguest, Romain ; Cont, Rama.
    In: Working Papers.
    RePEc:hal:wpaper:hal-00629929.

    Full description at Econpapers || Download paper

  14. Extreme Measures of Agricultural Financial Risk. (2011). cotter, john ; Morgan, Wyn ; Dowd, Kevin.
    In: Papers.
    RePEc:arx:papers:1103.5962.

    Full description at Econpapers || Download paper

  15. On optimal portfolio diversification with respect to extreme risks. (2010). Ruschendorf, Ludger ; Mainik, Georg .
    In: Finance and Stochastics.
    RePEc:spr:finsto:v:14:y:2010:i:4:p:593-623.

    Full description at Econpapers || Download paper

  16. A method for determining risk aversion functions from uncertain market prices of risk. (2010). Mayoral, Silvia ; Gzyl, Henryk.
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:47:y:2010:i:1:p:84-89.

    Full description at Econpapers || Download paper

  17. Loss reserving using loss aversion functions. (2009). Choo, Weihao ; de Jong, Piet.
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:45:y:2009:i:2:p:271-277.

    Full description at Econpapers || Download paper

  18. To split or not to split: Capital allocation with convex risk measures. (2009). Tsanakas, Andreas.
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:44:y:2009:i:2:p:268-277.

    Full description at Econpapers || Download paper

  19. Stable allocations of risk. (2009). Kóczy, László ; Herings, P. Jean-Jacques ; Csóka, Péter ; Koczy, Laszlo Á., .
    In: Games and Economic Behavior.
    RePEc:eee:gamebe:v:67:y:2009:i:1:p:266-276.

    Full description at Econpapers || Download paper

  20. An Econometric Analysis of Financial Data in Risk Management. (2008). Fantazzini, Dean.
    In: Applied Econometrics.
    RePEc:ris:apltrx:0006.

    Full description at Econpapers || Download paper

  21. Maximum Certain Equivalent Excess Returns and Equivalent Preference Criteria Part I - Theory. (2008). Pezier, Jacques .
    In: ICMA Centre Discussion Papers in Finance.
    RePEc:rdg:icmadp:icma-dp2008-05.

    Full description at Econpapers || Download paper

  22. Stable Allocations of Risk. (2008). Kóczy, László ; Herings, P. Jean-Jacques ; Csóka, Péter ; Csoka, Peter ; Koczy, Laszlo a..
    In: Working Paper Series.
    RePEc:pkk:wpaper:0802.

    Full description at Econpapers || Download paper

  23. Spectral risk measures and portfolio selection. (2008). Houkari, Mohamed ; Laurent, Jean-Paul ; Adam, Alexandre.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:32:y:2008:i:9:p:1870-1882.

    Full description at Econpapers || Download paper

  24. Determination of risk pricing measures from market prices of risk. (2008). Mayoral, Silvia ; Gzyl, Henryk.
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:43:y:2008:i:3:p:437-443.

    Full description at Econpapers || Download paper

  25. Risk measurement in the presence of background risk. (2008). Tsanakas, Andreas.
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:42:y:2008:i:2:p:520-528.

    Full description at Econpapers || Download paper

  26. Measuring financial risk : comparison of alternative procedures to estimate VaR and ES. (2008). Ruiz, Esther ; Nieto, Maria Rosa.
    In: DES - Working Papers. Statistics and Econometrics. WS.
    RePEc:cte:wsrepe:ws087326.

    Full description at Econpapers || Download paper

  27. Multivariate risks and depth-trimmed regions. (2007). Molchanov, Ilya ; Cascos, Ignacio.
    In: Finance and Stochastics.
    RePEc:spr:finsto:v:11:y:2007:i:3:p:373-397.

    Full description at Econpapers || Download paper

  28. Dilatation monotone risk measures are law invariant. (2007). Grigoriev, Pavel ; Cherny, Alexander.
    In: Finance and Stochastics.
    RePEc:spr:finsto:v:11:y:2007:i:2:p:291-298.

    Full description at Econpapers || Download paper

  29. Estimating financial risk measures for futures positions: a non-parametric approach. (2007). Dowd, Kevin ; cotter, john.
    In: MPRA Paper.
    RePEc:pra:mprapa:3503.

    Full description at Econpapers || Download paper

  30. Exponential Spectral Risk Measures. (2007). Dowd, Kevin ; cotter, john.
    In: MPRA Paper.
    RePEc:pra:mprapa:3499.

    Full description at Econpapers || Download paper

  31. Filtered Extreme Value Theory for Value-At-Risk Estimation. (2007). Ozun, Alper ; Cifter, Atilla ; Yilmazer, Sait.
    In: MPRA Paper.
    RePEc:pra:mprapa:3302.

    Full description at Econpapers || Download paper

  32. The limits of diversification when losses may be large.. (2007). Ibragimov, Rustam ; Walden, Johan.
    In: Scholarly Articles.
    RePEc:hrv:faseco:2624460.

    Full description at Econpapers || Download paper

  33. Stable Allocations of Risk. (2007). Kóczy, László ; Herings, P. Jean-Jacques ; Csóka, Péter ; Csoka, Peter ; Koczy, Laszlo a..
    In: CERS-IE WORKING PAPERS.
    RePEc:has:discpr:0704.

    Full description at Econpapers || Download paper

  34. The limits of diversification when losses may be large. (2007). Ibragimov, Rustam ; Walden, Johan.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:31:y:2007:i:8:p:2551-2569.

    Full description at Econpapers || Download paper

  35. Coherent measures of risk from a general equilibrium perspective. (2007). Kóczy, László ; Herings, P. Jean-Jacques ; Csóka, Péter ; Csoka, Peter ; Koczy, Laszlo a..
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:31:y:2007:i:8:p:2517-2534.

    Full description at Econpapers || Download paper

  36. Backtesting VaR Models: An Expected Shortfall Approach. (2007). Degiannakis, Stavros ; Angelidis, Timotheos.
    In: Working Papers.
    RePEc:crt:wpaper:0701.

    Full description at Econpapers || Download paper

  37. Weighted V@R and its Properties. (2006). Cherny, A..
    In: Finance and Stochastics.
    RePEc:spr:finsto:v:10:y:2006:i:3:p:367-393.

    Full description at Econpapers || Download paper

  38. On a relationship between distorted and spectral risk measures. (2006). Mayoral, Silvia ; Gzyl, Henryk ; Henryk, Gzyl.
    In: MPRA Paper.
    RePEc:pra:mprapa:916.

    Full description at Econpapers || Download paper

  39. Coherent Measures of Risk from a General Equilibrium Perspective. (2006). Kóczy, László ; Herings, P. Jean-Jacques ; Csóka, Péter ; Csoka, Peter ; Koczy, Laszlo .
    In: CERS-IE WORKING PAPERS.
    RePEc:has:discpr:0611.

    Full description at Econpapers || Download paper

  40. Master funds in portfolio analysis with general deviation measures. (2006). Rockafellar, Tyrrell R. ; Uryasev, Stan ; Zabarankin, Michael.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:30:y:2006:i:2:p:743-778.

    Full description at Econpapers || Download paper

  41. Extreme spectral risk measures: An application to futures clearinghouse margin requirements. (2006). Dowd, Kevin ; cotter, john.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:30:y:2006:i:12:p:3469-3485.

    Full description at Econpapers || Download paper

  42. Multivariate risks and depth-trimmed regions. (2006). Molchanov, Ilya ; Cascos, Ignacio.
    In: DES - Working Papers. Statistics and Econometrics. WS.
    RePEc:cte:wsrepe:ws063815.

    Full description at Econpapers || Download paper

  43. Multivariate risks and depth-trimmed regions. (2006). Molchanov, Ilya ; Cascos, Ignacio.
    In: Papers.
    RePEc:arx:papers:math/0606520.

    Full description at Econpapers || Download paper

  44. Methodology of measuring performance in alternative investment. (2005). Nagot, Isabelle ; Bonnet, Alexis .
    In: Cahiers de la Maison des Sciences Economiques.
    RePEc:mse:wpsorb:b05078.

    Full description at Econpapers || Download paper

  45. Coherent risk measures under filtered historical simulation. (2005). Tunaru, Radu ; Giannopoulos, Kostas.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:29:y:2005:i:4:p:979-996.

    Full description at Econpapers || Download paper

  46. Reward-risk portfolio selection and stochastic dominance. (2005). De Giorgi, Enrico.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:29:y:2005:i:4:p:895-926.

    Full description at Econpapers || Download paper

  47. On the significance of expected shortfall as a coherent risk measure. (2005). Kijima, Masaaki ; Inui, Koji.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:29:y:2005:i:4:p:853-864.

    Full description at Econpapers || Download paper

  48. Expected shortfall and beyond. (2002). Tasche, Dirk.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:26:y:2002:i:7:p:1519-1533.

    Full description at Econpapers || Download paper

  49. Measures of risk. (2002). Szego, Giorgio.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:26:y:2002:i:7:p:1253-1272.

    Full description at Econpapers || Download paper

  50. Expected Shortfall and Beyond. (2002). .
    In: Papers.
    RePEc:arx:papers:cond-mat/0203558.

    Full description at Econpapers || Download paper

Coauthors

Authors registered in RePEc who have wrote about the same topic

Report date: 2025-10-02 04:11:30 || Missing content? Let us know

CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated August, 3 2024. Contact: Jose Manuel Barrueco.