The Iterated Cte

DOI10.1080/10920277.2004.10596171zbMath1085.91524OpenAlexW2505133008MaRDI QIDQ5715997

Julia Lynn Wirch, Mary R. Hardy

Publication date: 6 January 2006

Published in: North American Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/10920277.2004.10596171

Mathematics Subject Classification ID

Related Items (16)

Tight Approximations of Dynamic Risk Measures ⋮ Solvency Analysis of Defined Benefit Pension Schemes ⋮ Iterated VaR or CTE measures: A false good idea? ⋮ Markov decision processes with iterated coherent risk measures ⋮ Estimating the conditional tail expectation in the case of heavy-tailed losses ⋮ On dynamic spectral risk measures, a limit theorem and optimal portfolio allocation ⋮ Revised version of: ``Solvency requirement for a long-term guarantee: risk measures versus probability of ruin ⋮ Partial Hedging for Equity-Linked Products Using Risk-Minimizing Strategies ⋮ Estimating conditional tail expectation with actuarial applications in view ⋮ TIME‐CONSISTENT AND MARKET‐CONSISTENT EVALUATIONS ⋮ Asymptotic Analysis of the Loss Given Default in the Presence of Multivariate Regular Variation ⋮ Kernel-type estimator of the conditional tail expectation for a heavy-tailed distribution ⋮ Solvency requirement for long term guarantee: risk measure versus probability of ruin ⋮ Interval Estimation of Actuarial Risk Measures ⋮ Peril, prudence and planning as risk, avoidance and worry ⋮ Cash Flow Matching

Cites Work

• A synthesis of risk measures for capital adequacy
• Dynamic coherent risk measures
• Coherent Measures of Risk
• Unnamed Item
• Unnamed Item

This page was built for publication: The Iterated Cte