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Zoekopdracht: faculteit: "FEB" en publicatiejaar: "2011"

AuteursM.J. Goovaerts, R. Kaas, R.J.A. Laeven
TitelWorst case risk measurement: back to the future?
TijdschriftInsurance: Mathematics & Economics
Jaargang49
Jaar2011
Nummer3
Pagina's380-392
ISSN01676687
FaculteitFaculteit Economie en Bedrijfskunde
Instituut/afd.FEB: Amsterdam Business School Research Institute (ABS-RI)
FEB: Amsterdam School of Economics Research Institute (ASE-RI)
SamenvattingThis paper studies the problem of finding best-possible upper bounds on a rich class of risk measures, expressible as integrals with respect to measures, under incomplete probabilistic information. Both univariate and multivariate risk measurement problems are considered. The extremal probability distributions, generating the worst case scenarios, are also identified.

The problem of worst case risk measurement has been studied extensively by Etienne De Vijlder and his co-authors, within the framework of finite-dimensional convex analysis. This paper revisits and extends some of their results.
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