Record link: 
http://hdl.handle.net/20.500.12708/219972
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Title: 
On the sensitivity of Tail Conditional Expectation and other risk measures with respect to small changes in large portfolios
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Citation: 
Hubalek, F. (2025). On the sensitivity of Tail Conditional Expectation and other risk measures with respect to small changes in large portfolios. In CONTROL & OPTIMISATION 2025 : Bari, May 12-14 University of Bari “Aldo Moro" : Book of Abstracts (pp. 11–11).
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Publication Type: 
Inproceedings - Abstract Book Contribution
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Language: 
English
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Authors: 
Hubalek, Friedrich 
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Organisational Unit: 
E105-05 - Forschungsbereich Stochastische Finanz- und Versicherungsmathematik 
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Published in: 
CONTROL & OPTIMISATION 2025 : Bari, May 12-14 University of Bari “Aldo Moro" : Book of Abstracts 
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Date (published): 
2025
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Event name: 
CONTROL & OPTIMISATION 2025 
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Event date: 
12-May-2025 - 14-May-2025
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Event place: 
Bari, Italy
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Number of Pages: 
1
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Keywords: 
Cornish-Fisher expansion; risk measure asymptotics; insurance cancellation calculations
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Additional information: 
https://www.dm.uniba.it/it/ricerca/convegni/2025/contropt2025
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Research Areas: 
Mathematical Methods in Economics: 30%
Modeling and Simulation: 40%
Fundamental Mathematics Research: 30%
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Science Branch: 
1020 - Informatik: 10%
5020 - Wirtschaftswissenschaften: 20%
1010 - Mathematik: 70%
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Appears in Collections:
Conference Paper

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