Coherent risk measures under dominated variation

DOI10.1007/978-3-319-06653-0_8MaRDI QIDQ3193129zbMATH OpenOpenAlexFDO

Authors Dimitrios G. Konstantinides, Christos E. Kountzakis

Publication date 15 October 2015

Published in EAA Series (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-319-06653-0_8

Mathematics Subject Classification ID

Probability measures on topological spaces (60B05)

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• Ordered linear spaces
• Precise estimates for the ruin probability in finite horizon in a discrete-time model with heavy-tailed insurance and financial risks.
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Cited in

(4)

• On One Limit Relation for Coherent Risk Measures
• COHERENT RISK MEASURES FOR DERIVATIVES UNDER BLACK–SCHOLES ECONOMY
• Weighted V\@R and its properties
• A note on the Swiss solvency test risk measure

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