Filipovic, Damir; Vogelpoth, Nicolas - In: Insurance: Mathematics and Economics 42 (2008) 3, pp. 897-902
In this paper we examine whether the Swiss Solvency Test risk measure is a coherent measure of risk as introduced in Artzner et al. [Artzner, P., Delbaen, F., Eber, J.M., Heath, D., 1999. Coherent measures of risk. Math. Finance 9, 203-228; Artzner, P., Delbaen, F., Eber, J.M., Heath, D., Ku,...
