Internal vs. External risk measures: how capital requirements differ in practice
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Publication:613362
DOI10.1016/J.ORL.2010.05.003zbMATH Open1202.91125OpenAlexW1968436996MaRDI QIDQ613362FDOQ613362
Publication date: 20 December 2010
Published in: Operations Research Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.orl.2010.05.003
Cites Work
- Coherent measures of risk
- Financial data and the skewed generalized \(t\) distribution
- A note on natural risk statistics
- Robustness and sensitivity analysis of risk measurement procedures
- Conditional median: a parametric solution concept for location problems
- Normal Inverse Gaussian Distributions and Stochastic Volatility Modelling
- Extensions of Stein's Lemma for the Skew-Normal Distribution
- Mean, median, mode II
- The Mean, Median, and Mode of Unimodal Distributions:A Characterization
- THE MEAN-MEDIAN-MODE INEQUALITY: COUNTEREXAMPLES
- Minimum standards for investment performance: a new perspective on non-life insurer solvency
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