Coherent measures of risk

Mathematical Finance

Volumn 9, Issue 3, 1999, Pages 203-228

  Artzner, Philippe ^a   Delbaen, Freddy ^b   Eber, Jean Marc ^c   Heath, David ^d  

^a UNIVERSITÉ DE STRASBOURG   (France)

^b ETH ZURICH   (Switzerland)

^c SOCIÉTÉ GÉNÉRALE   (France)

^d CARNEGIE MELLON UNIVERSITY   (United States)

Author keywords

Aggregation of risks; Butterfly; Capital requirement; Coherent risk measure; Concentration of risks; Currency risk; Decentralization; Extremal events risk; Insurance risk; Margin requirement; Market risk; Mean excess function; Measure of risk; Model risk

Indexed keywords

EID: 0033412999     PISSN: 09601627     EISSN: None     Source Type: Journal    
DOI: 10.1111/1467-9965.00068     Document Type: Article

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