Internal vs. External risk measures: how capital requirements differ in practice
From MaRDI portal
Publication:613362
DOI10.1016/j.orl.2010.05.003zbMath1202.91125OpenAlexW1968436996MaRDI QIDQ613362
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
- Minimum standards for investment performance: a new perspective on non-life insurer solvency
- Conditional median: a parametric solution concept for location problems
- A note on natural risk statistics
- Coherent Measures of Risk
- Financial Data and the Skewed Generalized T Distribution
- Robustness and sensitivity analysis of risk measurement procedures
- Mean, median, mode II
- Normal Inverse Gaussian Distributions and Stochastic Volatility Modelling
- The Mean, Median, and Mode of Unimodal Distributions:A Characterization
- THE MEAN-MEDIAN-MODE INEQUALITY: COUNTEREXAMPLES
- Extensions of Stein's Lemma for the Skew-Normal Distribution