Iterated VaR or CTE measures: a false good idea?
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Publication:4575465
Recommendations
- The Iterated Cte
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- Time consistent dynamic risk measures
Cites work
- scientific article; zbMATH DE number 5321684 (Why is no real title available?)
- scientific article; zbMATH DE number 6137478 (Why is no real title available?)
- A synthesis of risk measures for capital adequacy
- Application of Coherent Risk Measures to Capital Requirements in Insurance
- Coherent measures of risk
- Conditional and dynamic convex risk measures
- Dynamic risk measures
- Fundamental definition of the solvency capital requirement in Solvency II
- Modeling, measuring and managing risk
- PDE and martingale methods in option pricing.
- Real-valued conditional convex risk measures in \(L^p (\mathcal F, \mathbb R)\)
- Revised version of: ``Solvency requirement for a long-term guarantee: risk measures versus probability of ruin
- Risk Measures and Comonotonicity: A Review
- Stochastic finance. An introduction in discrete time.
- The Iterated Cte
- The pricing of options and corporate liabilities
Cited in
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