Iterated VaR or CTE measures: a false good idea? (Q4575465)
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scientific article; zbMATH DE number 6903662
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| English | Iterated VaR or CTE measures: a false good idea? |
scientific article; zbMATH DE number 6903662 |
Statements
Iterated VaR or CTE measures: A false good idea? (English)
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13 July 2018
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solvency capital
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pension funds
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Solvency II
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risk measures
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dynamic risk measures
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time consistency
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iterated risk measures
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0.7633421421051025
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0.7436901330947876
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0.7391941547393799
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0.7313089370727539
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