Ruin-based risk measures in discrete-time risk models
Hélène Cossette, Etienne Marceau, Julien Trufin, Pierre Zuyderhoff
| Year of publication: |
2020
|
|---|---|
| Authors: | Cossette, Hélène ; Marceau, Etienne ; Trufin, Julien ; Zuyderhoff, Pierre |
| Published in: |
Insurance / Mathematics & economics. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 93.2020, p. 246-261
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| Subject: | Capital allocation | Discrete-time risk models | Properties | Ruin-based risk measures | Stochastic orders | Risikomaß | Risk measure | Risiko | Risk | Risikomanagement | Risk management | Theorie | Theory | Messung | Measurement | Portfolio-Management | Portfolio selection | Risikomodell | Risk model | Stochastischer Prozess | Stochastic process |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.insmatheco.2020.05.003 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012294129