89 citations · 212 across the 27 of their papers we have counts for
3 papers · 2 filters
Estimation of Systemic Shortfall Risk Measure using Stochastic Algorithms
Sarah Kaakai, Anis Matoussi, Achraf Tamtalini
Systemic risk measures were introduced to capture the global risk and the corresponding contagion effects that is generated by an interconnected system of financial institutions. T…
Multivariate Optimized Certainty Equivalent Risk Measures and their Numerical Computation
Sarah Kaakai, Anis Matoussi, Achraf Tamtalini
We present a framework for constructing multivariate risk measures that is inspired from univariate Optimized Certainty Equivalent (OCE) risk measures. We show that this new class…
Utility Maximization Problem with Uncertainty and a Jump Setting
Sarah Kaakai, Anis Matoussi, Achraf Tamtalini
We study a robust utility maximization problem in the unbounded case with a general penalty term and information including jumps. We focus on time consistent penalties and we prove…