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Iterated VaR or CTE measures: A false good idea? - MaRDI portal

Iterated VaR or CTE measures: A false good idea? (Q4575465)

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scientific article; zbMATH DE number 6903662
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English
Iterated VaR or CTE measures: A false good idea?
scientific article; zbMATH DE number 6903662

    Statements

    title
    Iterated VaR or CTE measures: A false good idea? (English)
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    author
    Pierre Devolder
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    Adrien Lebègue
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    publication date
    13 July 2018
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    zbMATH Keywords
    solvency capital
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    pension funds
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    Solvency II
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    risk measures
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    dynamic risk measures
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    time consistency
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    iterated risk measures
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    Identifiers

    zbMATH DE Number
    6903662
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    OpenAlex ID
    W1701061265
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