Model uncertainty and scenario aggregation

DOI10.1111/MAFI.12097MaRDI QIDQ6497105

Mathieu Cambou, Damir Filipović

Publication date: 6 May 2024

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

zbMATH Keywords

scenario aggregationvalue-at-riskmodel uncertaintyexpected shortfallSwiss Solvency Teststatistical divergence

Mathematics Subject Classification ID

Actuarial science and mathematical finance (91Gxx)

Related Items (2)

Scenario-based risk evaluation ⋮ Quantile-Based Risk Sharing

Cites Work

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