On Coherent Risk Measures Induced by Convex Risk Measures
Author:
Funder
the National Natural Science Foundation of China
Publisher
Springer Science and Business Media LLC
Subject
General Mathematics,Statistics and Probability
Link
http://link.springer.com/article/10.1007/s11009-017-9584-1/fulltext.html
Reference25 articles.
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2. Acerbi Tasche D (2002) On the coherence of expected shortfall. J Bank Financ 26:1487–1503
3. Ahmadi-Javid A (2012) Entropic value-at-risk: a new coherent risk measure. J Optim Theory App 155:1105–1123
4. Artzner P (1999) Application of coherent risk measures to capital requirements in insurance. N Am Actuar J 3:11–25
5. Artzner P, Delbaen F, Eber JM, Heath D (1999) Coherent measures of risk. Math Financ 9:203–228
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