Risk Measures and Efficient use of Capital

DOI10.2143/AST.39.1.2038058zbMath1203.91110OpenAlexW2008008561MaRDI QIDQ3067085

Pablo Koch-Medina, Freddy Delbaen, Philippe Artzner

Publication date: 20 January 2011

Published in: ASTIN Bulletin (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2143/ast.39.1.2038058

Mathematics Subject Classification ID

Related Items (27)

Star-Shaped Risk Measures ⋮ Set-valued average value at risk and its computation ⋮ Which eligible assets are compatible with comonotonic capital requirements? ⋮ Combining multi-asset and intrinsic risk measures ⋮ Scalar Multivariate Risk Measures with a Single Eligible Asset ⋮ From ruin theory to solvency in non-life insurance ⋮ OPTIMAL NUMERAIRES FOR RISK MEASURES ⋮ Minkowski deviation measures ⋮ Liquidity-adjusted risk measures ⋮ Set-valued risk measures for conical market models ⋮ Measures of Systemic Risk ⋮ Portfolio Optimization under Solvency Constraints: A Dynamical Approach ⋮ A supermartingale relation for multivariate risk measures ⋮ Beyond cash-additive risk measures: when changing the numéraire fails ⋮ Hedging of long term zero-coupon bonds in a market model with reinvestment risk ⋮ OPTIMAL NUMERAIRES FOR RISK MEASURES ⋮ Coherent multiperiod risk adjusted values and Bellman's principle ⋮ Measuring risk with multiple eligible assets ⋮ Introduction to convex optimization in financial markets ⋮ Convex duality in optimal investment and contingent claim valuation in illiquid markets ⋮ Law-invariant functionals that collapse to the mean ⋮ A Comparison of Techniques for Dynamic Multivariate Risk Measures ⋮ Capital requirements with defaultable securities ⋮ FUNDAMENTAL DEFINITION OF THE SOLVENCY CAPITAL REQUIREMENT IN SOLVENCY II ⋮ Surplus-Invariant, Law-Invariant, and Conic Acceptance Sets Must Be the Sets Induced by Value at Risk ⋮ A continuous selection for optimal portfolios under convex risk measures does not always exist ⋮ Time consistency for scalar multivariate risk measures

Cites Work

• Coherent multiperiod risk adjusted values and Bellman's principle
• Inf-convolution of risk measures and optimal risk transfer
• Coherent Measures of Risk
• RISK MEASURES AND CAPITAL REQUIREMENTS FOR PROCESSES
• Coherent risk measures

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