4 papers
Quantification of Risk in Classical Models of Finance
Alois Pichler, Ruben Schlotter
This paper enhances the pricing of derivatives as well as optimal control problems to a level comprising risk. We employ nested risk measures to quantify risk, investigate the limi…
Martingale Characterizations of Risk-Averse Stochastic Optimization Problems
Alois Pichler, Ruben Schlotter
This paper addresses risk awareness of stochastic optimization problems. Nested risk measures appear naturally in this context, as they allow beneficial reformulations for algorith…
Entropy Based Risk Measures
Alois Pichler, Ruben Schlotter
Entropy is a measure of self-information which is used to quantify losses. Entropy was developed in thermodynamics, but is also used to compare probabilities based on their deviati…
On Quantile Risk Measures and Their Domain
Sebastian Fuchs, Ruben Schlotter, Klaus D. Schmidt
In the present paper we study quantile risk measures and their domain. Our starting point is that, for a probability measure on the open unit interval and a wide class $ \mat…