Which eligible assets are compatible with comonotonic capital requirements? (Q1667405): Difference between revisions

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-.1016/j.insmatheco.2018.04.003
@@ Property / DOI: 10.1016/j.insmatheco.2018.04.003 / rank @@
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+.05477
@@ Property / arXiv ID: 1602.05477 / rank @@
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+Q5386174
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+Coherent Measures of Risk
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+Risk Measures and Efficient use of Capital
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+The concept of comonotonicity in actuarial science and finance: theory.
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+Risk Measures and Comonotonicity: A Review
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+Worst VaR scenarios
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+Capital requirements with defaultable securities
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+Characterization of acceptance sets for co-monotone risk measures
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+Integral Representation Without Additivity
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@@ Property / DOI @@
+.1016/J.INSMATHECO.2018.04.003
@@ Property / DOI: 10.1016/J.INSMATHECO.2018.04.003 / rank @@
+Normal rank