On the equivalence between Value-at-Risk- and Expected Shortfall-based risk measures in non-concave optimization-Reference-Cited by-同舟云学术

登录注册会员服务联系我们

On the equivalence between Value-at-Risk- and Expected Shortfall-based risk measures in non-concave optimization

Published:2024-07 Issue: Volume:117 Page:114-129
ISSN:0167-6687
Container-title:Insurance: Mathematics and Economics
language:en
Short-container-title:Insurance: Mathematics and Economics

Author:

Chen An,Stadje Mitja^ORCID,Zhang Fangyuan

Funder

FWO

Publisher

Elsevier BV

Reference48 articles.

1. On the coherence of expected shortfall;Acerbi;Journal of Banking & Finance,2002

2. Expected shortfall: a natural coherent alternative to Value at Risk;Acerbi;Economic Notes,2002

3. Risk managing tail-risk seekers: VaR and expected shortfall vs S-shaped utility;Armstrong;Journal of Banking & Finance,2019

4. Design and pricing of equity-linked life insurance under sto-chastic interest rates;Bacinello;Journal of Banking & Finance,2002

同舟云学术

1.学者识别学者识别

2.学术分析学术分析

3.人才评估人才评估

"同舟云学术"是以全球学者为主线，采集、加工和组织学术论文而形成的新型学术文献查询和分析系统，可以对全球学者进行文献检索和人才价值评估。用户可以通过关注某些学科领域的顶尖人物而持续追踪该领域的学科进展和研究前沿。经过近期的数据扩容，当前同舟云学术共收录了国内外主流学术期刊6万余种，收集的期刊论文及会议论文总量共计约1.5亿篇，并以每天添加12000余篇中外论文的速度递增。我们也可以为用户提供个性化、定制化的学者数据。欢迎来电咨询！咨询电话：010-8811{复制后删除}0370

www.globalauthorid.com

TOP