Which eligible assets are compatible with comonotonic capital requirements? (Q1667405): Difference between revisions
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| Property / DOI: 10.1016/j.insmatheco.2018.04.003 / rank | |||
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Latest revision as of 01:59, 11 December 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Which eligible assets are compatible with comonotonic capital requirements? |
scientific article |
Statements
Which eligible assets are compatible with comonotonic capital requirements? (English)
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28 August 2018
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comonotonicity
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risk measures
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acceptance sets
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eligible assets
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value at risk
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expected shortfall
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