Natural risk measures

DOI10.1007/s11579-016-0165-9zbMath1404.91133OpenAlexW2295354140MaRDI QIDQ317544

Hirbod Assa

Publication date: 30 September 2016

Published in: Mathematics and Financial Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11579-016-0165-9

zbMATH Keywords

value at riskcoherent risk measurenatural risk measures

Mathematics Subject Classification ID

Related Items (4)

Pareto efficient buy and hold investment strategies under order book linked constraints ⋮ Optimal reinsurance under risk and uncertainty on Orlicz hearts ⋮ Preferences over all random variables: incompatibility of convexity and continuity ⋮ Golden options in financial mathematics

Cites Work

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• Optimal Retention for a Stop-loss Reinsurance Under the VaR and CTE Risk Measures
• External Risk Measures and Basel Accords
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