-
1
-
-
0036071567
-
Spectral measures of risk: A coherent representation of subjective risk aversion
-
Acerbi, C., Spectral measures of risk: a coherent representation of subjective risk aversion. J. Bank. Finance, 2002, 26, 1505-1518.
-
(2002)
J. Bank. Finance
, vol.26
, pp. 1505-1518
-
-
Acerbi, C.1
-
2
-
-
12444315647
-
Coherent representations of subjective risk aversion
-
edited by G. Szego, Wiley: New York
-
Acerbi, C., Coherent representations of subjective risk aversion. In Risk Measures for the XXI Century, edited by G. Szego, 2003 (Wiley: New York).
-
(2003)
Risk Measures for the XXI Century
-
-
Acerbi, C.1
-
4
-
-
0036077584
-
On the coherence of expected shortfall
-
Acerbi, C. and Tasche, D., On the coherence of expected shortfall, J. Bank. Finance, 2002a, 26, 1487-1503.
-
(2002)
J. Bank. Finance
, vol.26
, pp. 1487-1503
-
-
Acerbi, C.1
Tasche, D.2
-
5
-
-
0036085062
-
Expected shortfall: A natural coherent alternative to value at risk
-
Acerbi, C. and Tasche, D., Expected shortfall: a natural coherent alternative to value at risk, Econ. Notes, 2002b, 31(2), 379-388.
-
(2002)
Econ. Notes
, vol.31
, Issue.2
, pp. 379-388
-
-
Acerbi, C.1
Tasche, D.2
-
6
-
-
0002219226
-
Thinking coherently
-
Artzner, P., Delbaen, F., Eber, J.-M. and Heath, D., Thinking coherently. RISK, 1997, 10(11), 68-71.
-
(1997)
RISK
, vol.10
, Issue.11
, pp. 68-71
-
-
Artzner, P.1
Delbaen, F.2
Eber, J.-M.3
Heath, D.4
-
7
-
-
0033412999
-
Coherent measures of risk
-
Artzner, P., Delbaen, F., Eber, J.-M. and Heath, D., Coherent measures of risk, Math. Fin., 1999, 9(3), 203-228.
-
(1999)
Math. Fin
, vol.9
, Issue.3
, pp. 203-228
-
-
Artzner, P.1
Delbaen, F.2
Eber, J.-M.3
Heath, D.4
-
8
-
-
34548296241
-
-
Delbaen, F., Coherent risk measures on general probability spaces. Preprint, 2000 (ETH Zürich).
-
Delbaen, F., Coherent risk measures on general probability spaces. Preprint, 2000 (ETH Zürich).
-
-
-
-
10
-
-
0001862354
-
On law invariant coherent risk measures
-
Kusuoka, S., On law invariant coherent risk measures. Adv. Math. Econ., 2001, 3, 83-95.
-
(2001)
Adv. Math. Econ
, vol.3
, pp. 83-95
-
-
Kusuoka, S.1
-
11
-
-
0003221224
-
Some remarks on the value-at-risk and the conditional value-at-risk
-
edited by S. Uryasev, Kluwer Academic Publishers: Dordrecht
-
Pflug, G., Some remarks on the value-at-risk and the conditional value-at-risk. In Probabilistic Constrained Optimization: Methodology and Applications, edited by S. Uryasev, 2000 (Kluwer Academic Publishers: Dordrecht).
-
(2000)
Probabilistic Constrained Optimization: Methodology and Applications
-
-
Pflug, G.1
-
12
-
-
0002062038
-
Optimization of conditional value-at-risk
-
Rockafellar, R.T. and Uryasev, S., Optimization of conditional value-at-risk. J. Risk, 2000, 2(3), 21-41.
-
(2000)
J. Risk
, vol.2
, Issue.3
, pp. 21-41
-
-
Rockafellar, R.T.1
Uryasev, S.2
-
13
-
-
0036076694
-
Conditional value-at-risk for general loss distributions
-
Rockafellar, R.T. and Uryasev, S., Conditional value-at-risk for general loss distributions. J. Bank. Finance, 2002, 26(7), 1443-1471.
-
(2002)
J. Bank. Finance
, vol.26
, Issue.7
, pp. 1443-1471
-
-
Rockafellar, R.T.1
Uryasev, S.2
-
14
-
-
85011528623
-
Premium calculation by transforming the layer premium density
-
Wang, S., Premium calculation by transforming the layer premium density. Astin Bull., 1996, 26, 71-92.
-
(1996)
Astin Bull
, vol.26
, pp. 71-92
-
-
Wang, S.1
|