Worst case risk measurement: back to the future?
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Publication:654815
DOI10.1016/j.insmatheco.2011.06.001zbMath1228.91037OpenAlexW1999404641MaRDI QIDQ654815
Roger J. A. Laeven, Rob Kaas, Marc J. Goovaerts
Publication date: 21 December 2011
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2011.06.001
linear programmingconesvalue-at-riskrisk measurementworst case scenarioexponential premiumgeneralized scenariostail-value-at-risk
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Uses Software
Cites Work
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