Consistent risk measures for portfolio vectors-Reference-Cited by-同舟云学术

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Consistent risk measures for portfolio vectors

Published:2006-04 Issue:2 Volume:38 Page:289-297
ISSN:0167-6687
Container-title:Insurance: Mathematics and Economics
language:en
Short-container-title:Insurance: Mathematics and Economics

Author:

Burgert Christian,Rüschendorf Ludger

Publisher

Elsevier BV

Subject

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

Reference17 articles.

1. Coherent measures of risk;Artzner;Finance and Stochastics,1998

2. Bäuerle, N., Müller, A., 2005. Stochastic orders and risk measures: consistency and bounds. Preprint.

3. Coherent risk measures on general probability spaces;Delbaen,2002

4. Dhaene, J., Vanduffel, S., Tang, Q., Goovaerts, M., Kaas, R., Vynke, D., 2004. Solvency Capital, Risk Measures and Monotonicity: A Review. Research Report 0416, Department of Applied Economics, K.U. Leuven.

5. Stochastic Finance;Föllmer,2004

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