Analytical Evaluation of Economic Risk Capital for Portfolios of Gamma Risks

ASTIN Bulletin

Volumn 31, Issue 1, 2001, Pages 107-122

  Hürlimann, Werner ^a  

^a Value and Risk Management   (Switzerland)

Author keywords

additivity; comonotonicity; expected shortfall; gamma convolutions; risk adjusted capital; stop loss order; supermodular order; Value at risk

Indexed keywords

EID: 85011465033     PISSN: 05150361     EISSN: 17831350     Source Type: Journal    
DOI: 10.2143/AST.31.1.996     Document Type: Article

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