84 citations · 220 across the 19 of their papers we have counts for
4 papers · 1 filter
Monetary Measures of Risk
Andreas H Hamel
This survey gives an introduction to monetary measures of risk as monotone and cash additive functions on spaces of univariate random variables. Primal and dual representation resu…
Set-valued shortfall and divergence risk measures
Çağın Ararat, Andreas H. Hamel, Birgit Rudloff
Risk measures for multivariate financial positions are studied in a utility-based framework. Under a certain incomplete preference relation, shortfall and divergence risk measures…
Set-valued average value at risk and its computation
Andreas H. Hamel, Birgit Rudloff, Mihaela Yankova
New versions of the set-valued average value at risk for multivariate risks are introduced by generalizing the well-known certainty equivalent representation to the set-valued case…
Set-valued risk measures for conical market models
Andreas H. Hamel, Frank Heyde, Birgit Rudloff
Set-valued risk measures on with for conical market models are defined, primal and dual representation results are given. The collection of initial e…