• “Coherent Measures of Risk” –Philippe Artzner, Freddy Delbaen, Jean-Marc Eber and David Heath, Math. Finance 9 (1999), no. 3, 203-228 –http://.math.ethz.ch/~delbaen/ftp/preprints/CoherentMF.pdf • Coherent Measures of Risk - An Explanation for the Lay Actuary –...
regulators, being more conservative than the value at risk measurement. A nontechnical presentation of part of this work is given in Artzner et al. (1997). 2. DEFINITION OF RISK AND OF COHERENT RISK MEASURES This section accomplishes the program set in items (1), (2), and (3) above, ...
Heath, Coherent Measures of Risk, Mathematical Finance 9 (3), 203-228, 1999Artzner, P., F. Delbaen, J-M. Eber, and D. Heath (1999). Coherent Measures of Risk, Mathematical Finance 9(3), 203-228.P. ARTZNER, F. DELBAEN, J.-M. EBER, AND D. HEATH, Coherent measures of risk,...
Artzner, Ph., F. Delbaen, J.-M. Eber, andD. Heath (1998), Coherent Measures of Risk, submitted. Choquet, G. (1953), Theory of capacities, Ann, Inst. Fourier 5, 131–295. MathSciNet Google Scholar Delbaen, F. (1974), Convex Games and Extreme Points, Journ. Math. Anal. Appli...
Artzner P,Delbaen F,Eber JM,et al.Coherent Measures of Risk.Mathematical Finance. 1999Artzner P,Delbaen F,Eber JM,et al.Coherent measures of risk.Mathematical Finance. 1999Artzner, Philippe, Freddy Delbaen, Jean-Marc Eber, and David Heath,...
(1999). Application of coherent risk measures to capital requirements in insurance. North American Actuarial Journal, 3(2), 11-15.P. Artzner, Application of coherent risk measures to capital requirements in insurance, North American Actuarial Journal, 3 (2), 11-25, 1999....
Annals of Operations Research Philippe Artzner, Freddy Delbaen, Jean-Marc Eber, David Heath& Hyejin Ku 1065Accesses 3Altmetric Explore all metrics Abstract Starting with a time-0 coherent risk measure defined for “value processes”, we also define risk measurement processes. Two other constructions...
摘要: We extend the definition of coherent risk measures, as introduced by Artzner, Delbaen, Eber and Heath, to general probability spaces and we show how to define such measures on the space of all random...关键词:capital requirement coherent risk measure capacity theory convex games insurance...
We define a coherent risk measures as set-valued maps satisfying some axioms. We show that this definition is a convenient extension of the real-valued risk measures introduced by Artzner, Delbaen, Eber and Heath (1998). We then discuss the aggregation issue, i.e. the passage from valued ...
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