Iterated VaR or CTE measures : a false good idea?
Pierre Devolder and Adrien Lebègue
| Year of publication: |
February-June 2017
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|---|---|
| Authors: | Devolder, Pierre ; Lebègue, Adrien |
| Published in: |
Scandinavian actuarial journal. - Basingstoke : Taylor & Francis, ISSN 0346-1238, ZDB-ID 186753-2. - 2017, 4, p. 287-318
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| Subject: | Solvency capital | pension funds | Solvency II | risk measures | dynamic risk measures | time consistency | iterated risk measures | Risikomaß | Risk measure | Theorie | Theory | Messung | Measurement | Risiko | Risk | Zeitkonsistenz | Time consistency | Pensionskasse | Pension fund | Portfolio-Management | Portfolio selection | Risikomanagement | Risk management | Risikomodell | Risk model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/03461238.2015.1126343 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011772142