Risk capital allocation by coherent risk measures based on one-sided moments-Reference-Cited by-同舟云学术

Risk capital allocation by coherent risk measures based on one-sided moments

Published:2003-02 Issue:1 Volume:32 Page:135-146
ISSN:0167-6687
Container-title:Insurance: Mathematics and Economics
language:en
Short-container-title:Insurance: Mathematics and Economics

Author:

Fischer T.

Publisher

Elsevier BV

Subject

Statistics, Probability and Uncertainty,Economics and Econometrics,Statistics and Probability

Reference11 articles.

1. Coherent measures of risk;Artzner;Mathematical Finance,1999

2. Aubin, J.-P., 1979. Mathematical Methods of Game and Economic Theory. North-Holland, Amsterdam.

3. Bourbaki, N., 1965. Éléments de Mathématique, Livre VI, Intégration, Chapitres 1–4. Hermann, Paris.

4. Delbaen, F., 2000a. Coherent risk measures on general probability spaces. Preprint, ETH Zürich. http://www.math.ethz.ch/~delbaen/ftp/preprints/RiskMeasuresGeneralSpaces.pdf.

5. Delbaen, F., Coherent Risk Measures. Monograph. Scuola Normale Superiore, Pisa.

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