Dynamic robust Orlicz premia and Haezendonck–Goovaerts risk measures-Reference-Cited by-同舟云学术

Dynamic robust Orlicz premia and Haezendonck–Goovaerts risk measures

Published:2021-06 Issue:2 Volume:291 Page:438-446
ISSN:0377-2217
Container-title:European Journal of Operational Research
language:en
Short-container-title:European Journal of Operational Research

Author:

Bellini Fabio^ORCID,Laeven Roger J.A.^ORCID,Rosazza Gianin Emanuela^ORCID

Funder

Nederlandse Organisatie voor Wetenschappelijk Onderzoek

Publisher

Elsevier BV

Subject

Information Systems and Management,Management Science and Operations Research,Modelling and Simulation,General Computer Science,Industrial and Manufacturing Engineering

Reference52 articles.

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2. Coherent multiperiod risk adjusted values and Bellman’s principle;Artzner,2004

3. On Haezendonck risk measures;Bellini;Journal of Banking and Finance,2008

4. Haezendonck–Goovaerts risk measures and Orlicz quantiles;Bellini;Insurance: Mathematics and Economics,2012

5. Robust return risk measures;Bellini;Mathematics and Financial Economics,2018

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