Put Option Premiums and Coherent Risk Measures

DOI10.1111/1467-9965.02003zbMath1008.91061OpenAlexW3123481720MaRDI QIDQ4551809

Robert A. Jarrow

Publication date: 2002

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

Full work available at URL: https://doi.org/10.1111/1467-9965.02003

zbMATH Keywords

coherent risk measuresrisk measuresinsolvencyput optionsinsurance risk measures

Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82)

Related Items (10)

Capital adequacy rules, catastrophic firm failure, and systemic risk ⋮ On the General Deviation Measure and the Gini coefficient ⋮ Asymptotic distribution of law-invariant risk functionals ⋮ An optimal insurance strategy for an individual under an intertemporal equilibrium ⋮ A Unified Approach to Generate Risk Measures ⋮ MULTIDIMENSIONAL DYNAMIC RISK MEASURE VIA CONDITIONAL g‐EXPECTATION ⋮ Multivariate risks and depth-trimmed regions ⋮ Uniform limit theorems for functions of order statistics ⋮ Asymptotic consistency of risk functionals ⋮ CASH SUBADDITIVE RISK MEASURES AND INTEREST RATE AMBIGUITY

Cites Work

• Coherent Measures of Risk

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