Yang, Shuzhen; Yao, Jianfeng Linear regression under model uncertainty. (English) Zbl 07799988 Probab. Uncertain. Quant. Risk 8, No. 4, 523-546 (2023). MSC: 62J05 PDFBibTeX XMLCite \textit{S. Yang} and \textit{J. Yao}, Probab. Uncertain. Quant. Risk 8, No. 4, 523--546 (2023; Zbl 07799988) Full Text: DOI arXiv
Ekström, Erik; Karatzas, Ioannis A sequential estimation problem with control and discretionary stopping. (English) Zbl 1498.62161 Probab. Uncertain. Quant. Risk 7, No. 3, 151-168 (2022). MSC: 62L12 60G35 62L15 93E11 PDFBibTeX XMLCite \textit{E. Ekström} and \textit{I. Karatzas}, Probab. Uncertain. Quant. Risk 7, No. 3, 151--168 (2022; Zbl 1498.62161) Full Text: DOI arXiv
Elliott, Robert; Madan, Dilip B.; Siu, Tak Kuen Lower and upper pricing of financial assets. (English) Zbl 1492.91396 Probab. Uncertain. Quant. Risk 7, No. 1, 45-66 (2022). MSC: 91G30 PDFBibTeX XMLCite \textit{R. Elliott} et al., Probab. Uncertain. Quant. Risk 7, No. 1, 45--66 (2022; Zbl 1492.91396) Full Text: DOI
Melnikov, Alexander; Wan, Hongxi CVaR-hedging and its applications to equity-linked life insurance contracts with transaction costs. (English) Zbl 1492.91383 Probab. Uncertain. Quant. Risk 6, No. 4, 343-368 (2021). MSC: 91G20 91G05 62P05 60J74 PDFBibTeX XMLCite \textit{A. Melnikov} and \textit{H. Wan}, Probab. Uncertain. Quant. Risk 6, No. 4, 343--368 (2021; Zbl 1492.91383) Full Text: DOI
Dela Vega, Engel John C.; Elliott, Robert J. Conditional coherent risk measures and regime-switching conic pricing. (English) Zbl 1490.60220 Probab. Uncertain. Quant. Risk 6, No. 4, 267-300 (2021). MSC: 60J27 91G70 PDFBibTeX XMLCite \textit{E. J. C. Dela Vega} and \textit{R. J. Elliott}, Probab. Uncertain. Quant. Risk 6, No. 4, 267--300 (2021; Zbl 1490.60220) Full Text: DOI
Biagini, Francesca; Oberpriller, Katharina Reduced-form setting under model uncertainty with non-linear affine intensities. (English) Zbl 1490.91226 Probab. Uncertain. Quant. Risk 6, No. 3, 159-188 (2021). MSC: 91G40 91G05 60G44 PDFBibTeX XMLCite \textit{F. Biagini} and \textit{K. Oberpriller}, Probab. Uncertain. Quant. Risk 6, No. 3, 159--188 (2021; Zbl 1490.91226) Full Text: DOI
Tadese, Mekonnen; Drapeau, Samuel Dual representation of expectile-based expected shortfall and its properties. (English) Zbl 1473.62354 Probab. Uncertain. Quant. Risk 6, No. 2, 99-116 (2021). MSC: 62P05 91B05 91B16 91G70 PDFBibTeX XMLCite \textit{M. Tadese} and \textit{S. Drapeau}, Probab. Uncertain. Quant. Risk 6, No. 2, 99--116 (2021; Zbl 1473.62354) Full Text: DOI arXiv
Beißner, Patrick; Rosazza Gianin, Emanuela The term structure of Sharpe ratios and arbitrage-free asset pricing in continuous time. (English) Zbl 1482.91209 Probab. Uncertain. Quant. Risk 6, No. 1, 23-52 (2021). MSC: 91G30 60H30 PDFBibTeX XMLCite \textit{P. Beißner} and \textit{E. Rosazza Gianin}, Probab. Uncertain. Quant. Risk 6, No. 1, 23--52 (2021; Zbl 1482.91209) Full Text: DOI
Tangpi, Ludovic Efficient hedging under ambiguity in continuous time. (English) Zbl 1457.91392 Probab. Uncertain. Quant. Risk 5, Paper No. 6, 19 p. (2020). MSC: 91G20 60H30 60G48 PDFBibTeX XMLCite \textit{L. Tangpi}, Probab. Uncertain. Quant. Risk 5, Paper No. 6, 19 p. (2020; Zbl 1457.91392) Full Text: DOI arXiv
Hillairet, Caroline; Jiao, Ying; Réveillac, Anthony Pricing formulae for derivatives in insurance using Malliavin calculus. (English) Zbl 1435.62373 Probab. Uncertain. Quant. Risk 3, Paper No. 7, 19 p. (2018). MSC: 62P05 60G55 91G30 62M10 PDFBibTeX XMLCite \textit{C. Hillairet} et al., Probab. Uncertain. Quant. Risk 3, Paper No. 7, 19 p. (2018; Zbl 1435.62373) Full Text: DOI arXiv
Faugeras, Olivier P.; Rüschendorf, Ludger Risk excess measures induced by hemi-metrics. (English) Zbl 1432.60010 Probab. Uncertain. Quant. Risk 3, Paper No. 6, 35 p. (2018). MSC: 60B05 91B05 62P05 PDFBibTeX XMLCite \textit{O. P. Faugeras} and \textit{L. Rüschendorf}, Probab. Uncertain. Quant. Risk 3, Paper No. 6, 35 p. (2018; Zbl 1432.60010) Full Text: DOI
Jiao, Ying; Kharroubi, Idris Information uncertainty related to marked random times and optimal investment. (English) Zbl 1443.91273 Probab. Uncertain. Quant. Risk 3, Paper No. 3, 24 p. (2018). MSC: 91G15 93E20 60G44 PDFBibTeX XMLCite \textit{Y. Jiao} and \textit{I. Kharroubi}, Probab. Uncertain. Quant. Risk 3, Paper No. 3, 24 p. (2018; Zbl 1443.91273) Full Text: DOI arXiv
Biagini, Francesca; Mancin, Jacopo Financial asset price bubbles under model uncertainty. (English) Zbl 1443.91305 Probab. Uncertain. Quant. Risk 2, Paper No. 14, 29 p. (2017). MSC: 91G30 60G48 PDFBibTeX XMLCite \textit{F. Biagini} and \textit{J. Mancin}, Probab. Uncertain. Quant. Risk 2, Paper No. 14, 29 p. (2017; Zbl 1443.91305) Full Text: DOI
Weber, Stefan; Weske, Kerstin The joint impact of bankruptcy costs, fire sales and cross-holdings on systemic risk in financial networks. (English) Zbl 1432.91133 Probab. Uncertain. Quant. Risk 2, Paper No. 9, 38 p. (2017). MSC: 91G45 PDFBibTeX XMLCite \textit{S. Weber} and \textit{K. Weske}, Probab. Uncertain. Quant. Risk 2, Paper No. 9, 38 p. (2017; Zbl 1432.91133) Full Text: DOI
Bielecki, Tomasz R.; Cialenco, Igor; Pitera, Marcin A survey of time consistency of dynamic risk measures and dynamic performance measures in discrete time: LM-measure perspective. (English) Zbl 1432.91034 Probab. Uncertain. Quant. Risk 2, Paper No. 3, 52 p. (2017). MSC: 91B05 91B06 PDFBibTeX XMLCite \textit{T. R. Bielecki} et al., Probab. Uncertain. Quant. Risk 2, Paper No. 3, 52 p. (2017; Zbl 1432.91034) Full Text: DOI arXiv
Chang, Dejian; Liu, Huili; Xiong, Jie A branching particle system approximation for a class of FBSDEs. (English) Zbl 1440.60062 Probab. Uncertain. Quant. Risk 1, Paper No. 9, 34 p. (2016). MSC: 60H35 60H15 60J80 PDFBibTeX XMLCite \textit{D. Chang} et al., Probab. Uncertain. Quant. Risk 1, Paper No. 9, 34 p. (2016; Zbl 1440.60062) Full Text: DOI
Schied, Alexander; Voloshchenko, Iryna Pathwise no-arbitrage in a class of delta hedging strategies. (English) Zbl 1443.91299 Probab. Uncertain. Quant. Risk 1, Paper No. 3, 25 p. (2016). MSC: 91G20 60H05 60H30 PDFBibTeX XMLCite \textit{A. Schied} and \textit{I. Voloshchenko}, Probab. Uncertain. Quant. Risk 1, Paper No. 3, 25 p. (2016; Zbl 1443.91299) Full Text: DOI arXiv