The Iterated Cte: A Dynamic Risk Measure

North American Actuarial Journal

Volumn 8, Issue 4, 2004, Pages 62-75

  Hardy, Mary R ^a   Wirch, Julia L ^b  

^a UNIVERSITY OF WATERLOO   (Canada)

^b Hancock Natural Resource Group   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 85011223657     PISSN: 10920277     EISSN: None     Source Type: Journal    
DOI: 10.1080/10920277.2004.10596171     Document Type: Article

References (11)

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2. ARTZNER, PHILLIPPE, FREDDY DELBAEN, JEAN-MARC EBER, DAVID HEATH, and HYEJIN KU. 2003. Coherent Multiperiod Risk Adjusted Values and Bellman’s Principle. Working Paper, ETH, Zurich.
3. BOYLE, PHELIM P., MARY R. HARDY, and TON VORST. 2003. VaR Behaving Badly. Working paper, University of Waterloo, Waterloo, Ontario, Canada.
4. GERBER, HANS U. 1979. An Introduction to Mathematical Risk Theory. Huebner Foundation Monograph, University of Pennsylvania, Philadelphia.
5. HARDY, MARY R. 2003. Investment Guarantees: Modelling and Risk Management for Equity-Linked Life Insurance. New York: Wiley.
6. O’CONNOR, MICHAEL. 2002. Hedging Liability Risks, Micro and Macro Approaches: Risk Management of Variable Annuities. Presentation at the 2002 Investment Actuary Symposium. Online at http://handouts.soa.org/conted/cearchive/investment02/oconnor.pdf.
7. RIEDEL, FRANK. 2003. Dynamic Coherent Risk Measures. Working paper, Department of Economics, Stanford University.
8. SEGREGATED FUNDS TASK FORCE (SFTF). 2002. Report of the CIA Task Force on Segregated Fund Investment Guarantees. Canadian Institute of Actuaries. Online at www. actuaries.ca/publications/2002/202012e.pdf.
9. WANG, TAN. 2000. A Class of Dynamic Risk Measures. Working paper, University of British Columbia.
10. WANG, SHAUN. 2001. A Universal Framework for Pricing Financial and Insurance Risks. Proceedings of the Eleventh AFIR Colloquium. Ottawa: International Actuarial Association.
11. WIRCH, JULIA L., and MARY R. HARDY. 1999. A Synthesis of Risk Measures for Capital Adequacy. Insurance: Mathematics and Economics 25: 337-47.