Compatibility between pricing rules and risk measures: The CCVaR

DOI10.1007/BF03191906zbMath1181.91069OpenAlexW1492433472MaRDI QIDQ5852466

Raquel Balbás, Alejandro Balbas

Publication date: 27 January 2010

Published in: Revista de la Real Academia de Ciencias Exactas, Fisicas y Naturales. Serie A. Matematicas (Search for Journal in Brave)

Full work available at URL: https://eudml.org/doc/43692

zbMATH Keywords

risk measurecompatibilitypricing rulecompatible conditional value at riskunbounded optimization problem

Mathematics Subject Classification ID

Stochastic models in economics (91B70)

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Good deals and compatible modification of risk and pricing rule: a regulatory treatment ⋮ Good deal indices in asset pricing: actuarial and financial implications ⋮ Entropic value-at-risk: a new coherent risk measure ⋮ Actuarial pricing with financial methods ⋮ On volatility smile and an investment strategy with out-of-the-money calls

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