no code implementations • 5 Sep 2023 • Tomasz R. Bielecki, Igor Cialenco, Hao liu
We prove that these two classes of risk measures coincides.
no code implementations • 26 Feb 2019 • Tomasz R. Bielecki, Igor Cialenco, Marcin Pitera, Thorsten Schmidt
In this paper we develop a novel methodology for estimation of risk capital allocation.