10 citations · 10 across the 3 of their papers we have counts for
4 papers
Premiums And Reserves, Adjusted By Distortions
Alois Pichler
The net-premium principle is considered to be the most genuine and fair premium principle in actuarial applications. However, an insurance company, applying the net-premium princip…
The Natural Banach Space for Version Independent Risk Measures
Alois Pichler
Risk measures, or coherent measures of risk are often considered on the space L^\infty, and important theorems on risk measures build on that space. Other risk measures, among them…
Uniqueness of Kusuoka Representations
Alois Pichler, Alexander Shapiro
This paper addresses law invariant coherent risk measures and their Kusuoka representations. By elaborating the existence of a minimal representation we show that every Kusuoka rep…
Spectral Risk Measures, With Adaptions For Stochastic Optimization
Alois Pichler
Stochastic optimization problems often involve the expectation in its objective. When risk is incorporated in the problem description as well, then risk measures have to be involve…