Iterated VaR or CTE measures: A false good idea?

DOI10.1080/03461238.2015.1126343zbMath1401.91131OpenAlexW1701061265MaRDI QIDQ4575465

Adrien Lebègue, Pierre Devolder

Publication date: 13 July 2018

Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03461238.2015.1126343

zbMATH Keywords

risk measurestime consistencySolvency IIpension fundsdynamic risk measuressolvency capitaliterated risk measures

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70)

Related Items (2)

SOLVENCY MEASUREMENT OF LIFE ANNUITY PRODUCTS ⋮ Risk measures versus ruin theory for the calculation of solvency capital for long-term life insurances

Cites Work

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• FUNDAMENTAL DEFINITION OF THE SOLVENCY CAPITAL REQUIREMENT IN SOLVENCY II
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