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Coherent Risk

Allocation of risk capital based on iso-entropic coherent risk measure

Allocation of risk capital based on iso-entropic coherent risk measure

... a risk capital allocation problem. One is to quantify the risk of the portfolio and its subportfolios with a good risk measure ...the risk capital to each subportfolios ...good risk ...

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Extremes for coherent risk measures

Extremes for coherent risk measures

... the risk exposure of a financial or insurance firm/subsidiary/line of business due to the occurrence of some extreme ...the risk in adverse scenarios and are useful for signaling to a decision-maker the ...

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On representing claims for coherent risk measures

On representing claims for coherent risk measures

... and, from [11], that we may suppose without loss of generality that the null strategies of this decomposition form a vector space. Our aim in this section is to transform trading with transaction costs to a partially ...

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Coherent risk measures, reserving, and transaction costs

Coherent risk measures, reserving, and transaction costs

... the risk carried by the insurer is acceptable to the insurer and (possibly) to regulatory authorities, customers and their ...a coherent risk measure (CRM); see [F¨ ollmer and Schied, 2011] for an ...

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Statistical Issues in Coherent Risk Management

Statistical Issues in Coherent Risk Management

... important for the purpose of risk management and portfolio performance measure-.. ment.[r] ...

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Investigating the Fluency Affect relationship in judgements of (in)coherent risk

Investigating the Fluency Affect relationship in judgements of (in)coherent risk

... “A premium independent leisure centre in town offering state of the art facilities, including 25m swimming pool,. fitness centre, squash courts, and individual suites for classes and c[r] ...

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Allocation Processes for Worst Scenarios in Fuzzy Asset Management Using Weighted Average Value-at-Risks

Allocation Processes for Worst Scenarios in Fuzzy Asset Management Using Weighted Average Value-at-Risks

... the risk concerning worst scenarios in financial ...coherency. Coherent risk measures have been studied to improve the criterion of risks with worst scenarios by Artzner et ...improved risk ...

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Risk Measures and Nonlinear Expectations

Risk Measures and Nonlinear Expectations

... We show that 1 in the family of convex risk measures, only coherent risk measures satisfy Jensen’s inequality; 2 coherent risk measures are always bounded by the corresponding Choquet ex[r] ...

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A survey of time consistency of dynamic risk measures and dynamic performance measures in discrete time: LM-measure perspective

A survey of time consistency of dynamic risk measures and dynamic performance measures in discrete time: LM-measure perspective

... measuring risk of a financial position was initiated in the seminal paper by Artzner et ...of risk introduced in (Artzner et al. 1999), called coherent risk measures, were meant to determine ...

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Further Results about Calibration of Longevity Risk for the Insurance Business

Further Results about Calibration of Longevity Risk for the Insurance Business

... longevity risk, i.e. the risk that the insured population lives longer than the expected, represents the heart of the risk assessment, having significant impact in terms of solvency capital ...

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How Superadditive Can a Risk Measure Be?

How Superadditive Can a Risk Measure Be?

... for risk measures has been raging since the seminal paper of Artzner et ...on coherent measures of ...shortfall risk. Cont et al. (2010) argue that empirical estimators of coherent risk ...

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Risk measurement in the presence of background risk

Risk measurement in the presence of background risk

... that risk measure, it is possible to capture the impact of background risk on preferences, given that these preferences are captured by a distortion risk ...background risk increases agents’ ...

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Free monoids are coherent

Free monoids are coherent

... (right) coherent? This study was initiated in [4], where it is shown that the free commuta- tive monoid on any set Ω is ...(right) coherent [2, Corollary ...

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Coherent and non-coherent processing of multiband radar sensor data

Coherent and non-coherent processing of multiband radar sensor data

... non- coherent approach, while with the coherent approach only an increase of resolution is ...the coherent polynomial zeros are approximately distributed uniformly along the unit circle, the maximum ...

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Favourable and Unfavourable EMF Frequency Patterns in Cancer: Perspectives for Improved Therapy and Prevention

Favourable and Unfavourable EMF Frequency Patterns in Cancer: Perspectives for Improved Therapy and Prevention

... A first extensive meta-analysis of in total 320 published biological and medical studies has earlier been performed by us, (Geesink and Meijer, 2015, Meijer and Geesink, 2016), in which living material (tissues, cells, ...

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A Coherent View on Entropy

A Coherent View on Entropy

... a coherent explanation; Informational entropy H of a system can be interpreted as physical entropy S of the whole including both the system and“memories of outside observer” correlated with the ...

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Coherent terahertz photonics

Coherent terahertz photonics

... a coherent THz system technology, underpinned by photonic components, that would enable access to most applications for frequencies ranging from 100 GHz to 5 ...of coherent THz systems to achieve 5 orders ...

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Measuring Human Risks in Service: A New Model

Measuring Human Risks in Service: A New Model

... Enterprise Risk Management System (ERM). En- terprise Risk Management creates value for shareholders because it allows com- panies to have a look at risks from a macro and micro point of ...of risk ...

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Hazard communication by volcanologists: Part 1 - Framing the case for contextualisation and related quality standards in volcanic hazard assessments

Hazard communication by volcanologists: Part 1 - Framing the case for contextualisation and related quality standards in volcanic hazard assessments

... a risk-mitigation deci- sion requires (a direct reference to the need for material- ity), and whether that analysis is appropriately balanced (an indirect reference to a need for ...

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Volume 37 - Article 17 | Pages 527–566 

Volume 37 - Article 17 | Pages 527–566 

... more coherent way and avoids increasing divergence in the long ...the coherent models predict a further convergence, albeit modest, of life expectancy values even if the range stayed approxi- mately ...

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