A note on the Swiss solvency test risk measure
From MaRDI portal
Publication:931168
DOI10.1016/j.insmatheco.2007.10.009zbMath1141.91507OpenAlexW2023951373MaRDI QIDQ931168
Nicolas Vogelpoth, Damir Filipović
Publication date: 25 June 2008
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: http://infoscience.epfl.ch/record/148556
Lua error in Module:PublicationMSCList at line 37: attempt to index local 'msc_result' (a nil value).
Related Items (3)
Time-consistent actuarial valuations ⋮ Optimal initial capital induced by the optimized certainty equivalent ⋮ Pricing and hedging in incomplete markets with model uncertainty
Cites Work
- Dynamic monetary risk measures for bounded discrete-time processes
- Monotone and cash-invariant convex functions and hulls
- Convex measures of risk and trading constraints
- Coherent multiperiod risk adjusted values and Bellman's principle
- Coherent Measures of Risk
- Risk measurement with equivalent utility principles
- Stochastic finance. An introduction in discrete time
This page was built for publication: A note on the Swiss solvency test risk measure
