Raising value at risk

North American Actuarial Journal

Volumn 3, Issue 2, 1999, Pages 106-115

  Wirch, Julia Lynn ^a  

^a UNIVERSITY OF WATERLOO   (Canada)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 85011154617     PISSN: 10920277     EISSN: None     Source Type: Journal    
DOI: 10.1080/10920277.1999.10595804     Document Type: Article

References (10)

1. Artzner, Philippe, Delbael, Freddy, Eber, Jean-Marc, and Heath, David. 1996. "A Characterization of Measures of Risk," Presented at University of Waterloo (February).
2. Bassi, Franco, Embrechts, Paul, and Kafetzaki, Maria. 1997. "A Survival Kit on Quantile Estimation," Presented at University of Waterloo.
3. Bowers, Newton L., Gerber, Hans U., Hickman, James C., Jones, Donald A., and Nesbit, Cecil J. 1986. Actuarial Mathematics. Itasca, Ill.: Society of Actuaries.
4. Duffie, Darrell, and Pan, Jun. 1997. "An Overview of Value at Risk," The Journal of Derivatives 4, no. 3(Spring):7–48.
5. Hogg, Robert V., and Craig, Allen T. 1995. Introduction to Mathematical Statistics. Englewood Cliffs, N.J.: Prentice- Hall.
6. Hull, John C. Options, Futures, and Other Derivatives. 1997. 3rd ed., Upper Saddle River, N.J.: Prentice-Hall.
7. Klugman, Stuart A., Panjer, Harry H., and Willmot, Gordon E. 1997. Loss Models: From Data to Decisions. Toronto, Ontario: John Wiley and Sons.
8. Morgan Guaranty Trust Company: Risk Management Services. 1995. Introduction to RiskMetrics. Technical Report, J.P. Morgan, riskmetrics@jpmorgan.com, New York.
9. Searle, Shayle R., Casella, George, And Mcculloch, Charles E. 1997. Variance Components. New York: John Wiley and Sons.
10. Wang, Shaun. 1998. "An Actuarial Index of the Right-Tail Risk," NAAJ 2, no. 2(April):88–101.