12 search results - page 1 / 3 » Subdifferential representations of risk measures |
MP
2006
13 years 4 months ago
2006
Measures of risk appear in two categories: Risk capital measures serve to determine the necessary amount of risk capital in order to avoid ruin if the outcomes of an economic acti...
ANOR
2010
13 years 2 months ago
2010
We derive representations of higher order dual measures of risk in Lp spaces as suprema of integrals of Average Values at Risk with respect to probability measures on (0, 1] (Kusu...
MOR
2006
13 years 4 months ago
2006
We consider optimization problems involving convex risk functions. By employing techniques of convex analysis and optimization theory in vector spaces of measurable functions we d...
ORL
2008
13 years 4 months ago
2008
For general law invariant coherent measures of risk, we derive an equivalent representation of a risk-averse newsvendor problem as a meanrisk model. We prove that the higher the w...
ISBI
2008
IEEE
14 years 5 months ago
2008
IEEE
We propose a new image analysis method to segment and track cells in a growing colony. By using an intermediate low-dimension image representation yielded by a reliable over-segme...