Optimal initial capital induced by the optimized certainty equivalent

Author:

Arai Takuji,Asano Takao,Nishide KatsumasaORCID

Funder

MEXT

Joint Research Program of KIER

Publisher

Elsevier BV

Subject

Statistics, Probability and Uncertainty,Economics and Econometrics,Statistics and Probability

Reference39 articles.

1. Convex risk measures for good deal bounds;Arai;Math. Finance,2014

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3. Optimal reinsurance under risk and uncertainty;Balbás;Insurance Math. Econom.,2015

4. Optimal reinsurance with general risk measures;Balbás;Insurance Math. Econom.,2009

5. Robust return risk measures;Bellini;Math. Financ. Econ.,2018

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1. Fuzzy Risk Adjusted Discount Rate and Certainty Equivalent Methods;Fuzzy Investment Decision Making with Examples;2024

2. Intuitionistic fuzzy risk adjusted discount rate and certainty equivalent methods for risky projects;International Journal of Production Economics;2023-03

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