Search Results - "Munari, Cosimo"

Qualitative robustness of utility-based risk measures.

Authors: Koch-Medina, Pablo Munari, Cosimo

Source: Annals of Operations Research; May2024, Vol. 336 Issue 1/2, p967-980, 14p

A continuous selection for optimal portfolios under convex risk measures does not always exist.

Authors: Baes, Michel Munari, Cosimo

Source: Mathematical Methods of Operations Research; Feb2020, Vol. 91 Issue 1, p5-23, 19p, 4 Graphs

Uniqueness of Convex-Ranged Probabilities and Applications to Risk Measures and Games.

Authors: Amarante, Massimiliano Liebrich, Felix-Benedikt Munari, Cosimo

Source: Mathematics of Operations Research (INFORMS); Feb2025, Vol. 50 Issue 1, p743-763, 21p

Surplus-Invariant Risk Measures.

Authors: Gao, Niushan Munari, Cosimo

Source: Mathematics of Operations Research (INFORMS). Nov2020, Vol. 45 Issue 4, p1342-1370. 29p.

Capital requirements and claims recovery: A new perspective on solvency regulation.

Authors: Munari, Cosimo Weber, Stefan Wilhelmy, Lutz

Source: Journal of Risk & Insurance. Jun2023, Vol. 90 Issue 2, p329-380. 52p. 9 Graphs.

Fundamental theorem of asset pricing with acceptable risk in markets with frictions.

Authors: Arduca, Maria Munari, Cosimo

Source: Finance & Stochastics. Jul2023, Vol. 27 Issue 3, p831-862. 32p.

Multi-utility representations of incomplete preferences induced by set-valued risk measures.

Authors: Munari, Cosimo¹ (AUTHOR) cosimo.munari@bf.uzh.ch

Source: Finance & Stochastics. 2021, Vol. 25 Issue 1, p77-99. 23p.

Law-invariant risk measures: Extension properties and qualitative robustness.

Authors: Koch-Medina, Pablo Munari, Cosimo

Source: Statistics & Risk Modeling. Dec2014, Vol. 31 Issue 3/4, p215-236. 22p.

Existence, uniqueness, and stability of optimal payoffs of eligible assets.

Authors: Baes, Michel Koch‐Medina, Pablo Munari, Cosimo

Source: Mathematical Finance. Jan2020, Vol. 30 Issue 1, p128-166. 39p.

Gaussian Process Regression with a Hybrid Risk Measure for Dynamic Risk Management in the Electricity Market.

Authors: Das, Abhinav Schlüter, Stephan

Source: Risks. Jan2025, Vol. 13 Issue 1, p13. 18p.

Bidual Representation of Expectiles.

Authors: Balbás, Alejandro Balbás, Beatriz Balbás, Raquel et al.

Source: Risks. Dec2023, Vol. 11 Issue 12, p220. 21p.

Risk Measures Based on Benchmark Loss Distributions.

Authors: Bignozzi, Valeria Burzoni, Matteo Munari, Cosimo

Source: Journal of Risk & Insurance. Jun2020, Vol. 87 Issue 2, p437-475. 39p. 3 Charts.

Fatou property, representations, and extensions of law-invariant risk measures on general Orlicz spaces.

Authors: Gao, Niushan Leung, Denny Munari, Cosimo et al.

Source: Finance & Stochastics. Apr2018, Vol. 22 Issue 2, p395-415. 21p.

Contents of Current Periodicals.

Source: Finance India. Jun2021, Vol. 35 Issue 2, p633-664. 32p.

Beyond cash-additive risk measures: when changing the numéraire fails.

Authors: Farkas, Walter Koch-Medina, Pablo Munari, Cosimo

Source: Finance & Stochastics. Jan2014, Vol. 18 Issue 1, p145-173. 29p.

Good-Deal Bounds for Option Prices under Value-at-Risk and Expected Shortfall Constraints.

Authors: Desmettre, Sascha Laudagé, Christian Sass, Jörn

Source: Risks. Dec2020, Vol. 8 Issue 4, p114. 1p.

Bigger Is Not Always Safer: A Critical Analysis of the Subadditivity Assumption for Coherent Risk Measures.

Authors: Rau-Bredow, Hans¹ (AUTHOR) hans.rau-bredow@uni-wuerzburg.de

Source: Risks. Sep2019, Vol. 7 Issue 3, p91-91. 1p.

A Discussion on Recent Risk Measures with Application to Credit Risk: Calculating Risk Contributions and Identifying Risk Concentrations.

Authors: Fischer, Matthias Moser, Thorsten Pfeuffer, Marius

Source: Risks. Dec2018, Vol. 6 Issue 4, p142. 1p.