Optimal reinsurance with general risk measures

Coherent Measures of Risk

Philippe Artzner, Freddy Delbaen, Jean‐Marc Eber et al. · Mathematical Finance · 1999 · 8.9K citations

Empirical Finance, Financial Risk Management, Risk Metric +22

Integral representation without additivity

David Schmeidler · Proceedings of the American Mathematical Society · 1986 · 911 citations · Full text

Value-at-Risk-Based Risk Management: Optimal Policies and Asset Prices

Suleyman Basak, Alexander Shapiro · Review of Financial Studies · 2001 · 864 citations

Var Risk Managers, Economics, Asset Pricing +14

A Class of Distortion Operators for Pricing Financial and Insurance Risks

Shaun S. Wang · Journal of Risk & Insurance · 2000 · 652 citations

Financial Risk Management, Insurance Risks, Financial Mathematics +17

Generalized deviations in risk analysis

R. T. Rockafellar, Stan Uryasev, Michael Zabarankin · Finance and Stochastics · 2005 · 567 citations

Engineering, Financial Risk Management, Risk Management +6