Iterated VaR or CTE measures: a false good idea?
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Publication:4575465
DOI10.1080/03461238.2015.1126343zbMATH Open1401.91131OpenAlexW1701061265MaRDI QIDQ4575465FDOQ4575465
Authors: Pierre Devolder, Adrien Lebègue 
Publication date: 13 July 2018
Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03461238.2015.1126343
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Cites Work
- The pricing of options and corporate liabilities
- Coherent measures of risk
- Title not available (Why is that?)
- Application of Coherent Risk Measures to Capital Requirements in Insurance
- Stochastic finance. An introduction in discrete time.
- Modeling, measuring and managing risk
- Title not available (Why is that?)
- PDE and martingale methods in option pricing.
- Conditional and dynamic convex risk measures
- Dynamic risk measures
- Risk Measures and Comonotonicity: A Review
- Fundamental definition of the solvency capital requirement in Solvency II
- A synthesis of risk measures for capital adequacy
- Revised version of: ``Solvency requirement for a long-term guarantee: risk measures versus probability of ruin
- The Iterated Cte
- Real-valued conditional convex risk measures in \(L^p (\mathcal F, \mathbb R)\)
Cited In (3)
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