Risk Management

Authors and titles for recent submissions

• Fri, 22 Nov 2024
• Thu, 21 Nov 2024
• Wed, 20 Nov 2024
• Tue, 19 Nov 2024
• Mon, 18 Nov 2024

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Wed, 20 Nov 2024 (showing 2 of 2 entries )

[5] arXiv:2411.12522 (cross-list from math.PR) [pdf, html, other]

Title: Canonical insurance models: stochastic equations and comparison theorems

Marcus C. Christiansen, Christian Furrer

Subjects: Probability (math.PR); Risk Management (q-fin.RM)

[6] arXiv:2411.12323 (cross-list from q-fin.PM) [pdf, html, other]

Title: Mirror Descent Algorithms for Risk Budgeting Portfolios

Martin Arnaiz Iglesias (UP1 UFR27), Adil Rengim Cetingoz (UP1 UFR27), Noufel Frikha (UP1 UFR27)

Subjects: Portfolio Management (q-fin.PM); Probability (math.PR); Risk Management (q-fin.RM)

Tue, 19 Nov 2024 (showing 1 of 1 entries )

[7] arXiv:2411.11522 [pdf, html, other]

Title: Robust Bernoulli mixture models for credit portfolio risk

Jonathan Ansari, Eva Lütkebohmert

Subjects: Risk Management (q-fin.RM); Mathematical Finance (q-fin.MF)

Mon, 18 Nov 2024 (showing 2 of 2 entries )

[8] arXiv:2411.10386 [pdf, html, other]

Title: The role of debt valuation factors in systemic risk assessment

Kamil Fortuna, Janusz Szwabiński

Subjects: Risk Management (q-fin.RM); Mathematical Finance (q-fin.MF)

[9] arXiv:2411.10139 [pdf, html, other]

Title: Some remarks on the effect of risk sharing and diversification for infinite mean risks

Alfred Müller

Subjects: Risk Management (q-fin.RM); Probability (math.PR)