Coherent Measures of Risk

DOI10.1111/1467-9965.00068zbMath0980.91042OpenAlexW2019291268WikidataQ55879475 ScholiaQ55879475MaRDI QIDQ2757301

Philippe Artzner, Freddy Delbaen, Jean-Marc Eber, David C. Heath

Publication date: 26 November 2001

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/1467-9965.00068

zbMATH Keywords

decentralizationcoherent risk measurecapital requirementaggregation of risks

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70)