Milan
Italy
University of Milano-Bicocca - Dip. di Statistica e Metodi Quantitativi
SSRN RANKINGS
in Total Papers Downloads
in Total Papers Citations
expectile, coherence, elicitability, Kusuoka representation, robustness
Orlicz premium, Shortfall risk, Robustness, Ambiguity averse preferences, Orlicz norms and spaces, Convex risk measures, Positive homogeneity
quasiconvex risk measures, portfolio optimization, convex risk measures, efficient frontier
Liquidity Risk, Acceptability Indexes, g-expectations, quasi-concave risk measures
risk measures; quasiconvex; Pareto optimal; risk sharing; inf-convolution
Risk management, Capital allocation rules, Convex risk measures, Quasi-convex risk measures, Aumann-Shapley value, Gateaux differential, Greenberg-Pierskalla subdifferential.
Capital Allocation, Haezendonck-Goovaerts Risk Measures, Orlicz Risk Premium, Quantiles, Ambiguity.
Capital allocation, acceptance sets, convex risk measures, quasi-convex risk measures
Dynamic Risk Measures; Time-Consistency, Quasi-Convex Risk Measures, Cash-Subadditive Risk Measures, Cocycle Property, M-Stability
Risk management, capital allocation rules, set-valued risk measures, coherent and convex risk measures
Risk management, Capital allocations, Convex risk measures, Gradient allocation, Gateaux derivative.
Fully-dynamic risk measures, cash sub-additive, time-consistency, BSDEs, horizon risk, h-longevity, generalized entropy
