“Application of Coherent Risk Measures to Capital Requirements in Insurance,” Philippe Artzner, April 1999

DOI10.1080/10920277.2000.10595888zbMath1083.91553OpenAlexW2332653439MaRDI QIDQ5718081

Elias S. W. Shiu

Publication date: 13 January 2006

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

Full work available at URL: https://doi.org/10.1080/10920277.2000.10595888

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items (4)

Economic Capital Allocation Derived from Risk Measures ⋮ Bayesian Risk Measures for Derivatives via Random Esscher Transform ⋮ Hans U. Gerber and Elias S. W. Shiu’s Discussion on “Agricultural Insurance Ratemaking: Development of a New Premium Principle,” by Wenjun Zhu, Ken Seng Tan, and Lysa Porth, Volume 23(4) ⋮ Reply to Hans U. Gerber and Elias S. W. Shiu on Their Discussion on Our Paper Entitled "Agricultural Insurance Ratemaking: Development of a New Premium Principle"

Cites Work

• Coherent Measures of Risk
• Raising Value at Risk

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