Coherent Measures of Risk

DOI10.1111/1467-9965.00068zbMath0980.91042WikidataQ55879475 ScholiaQ55879475MaRDI QIDQ2757301

Freddy Delbaen, Philippe Artzner, David C. Heath, Jean-Marc Eber

Publication date: 26 November 2001

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/1467-9965.00068

zbMATH Keywords

decentralization; coherent risk measure; capital requirement; aggregation of risks

Mathematics Subject Classification ID

91G70: Statistical methods; risk measures

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