RISK MEASURES AND CAPITAL REQUIREMENTS FOR PROCESSES (Q3423396)

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RISK MEASURES AND CAPITAL REQUIREMENTS FOR PROCESSES
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    title
    RISK MEASURES AND CAPITAL REQUIREMENTS FOR PROCESSES (English)
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    author
    Marco Frittelli
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    Giacomo Scandolo
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    publication date
    22 February 2007
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    Mathematics Subject Classification ID
    91B30
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    60A10
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    91B70
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    zbMATH DE Number
    5129280
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    zbMATH Keywords
    convex risk measures
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    general capital requirement
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    risk measures for processes
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    dual representation
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    credit constraint
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