coherentmeasuresofrisk风险的连贯措施 系统标签: riskcoherentmeasuresaxiomsartznerquantile MathematicalFinance,Vol.9,No.3(July1999),203–228 COHERENTMEASURESOFRISK PHILIPPEARTZNER Universit´eLouisPasteur,Strasbourg FREDDYDELBAEN Eidgen¨ossischeTechnischeHochschule,Z¨urich JEAN-MARCEBER Soci´et´eG´en...
SpectralMeasuresofRiskCoherenceintheoryandpractice Budapest–September11,2003 Subjectofthetalk:onlyfinance(andabitofstatistic)RiskManagementQuestions Financial WhatdoImeasure?Statistical HowdoIestimateit?OurinvestigationwillbePcroombapblielitsetliycdevCootemdptuotaftinioannaclial andstatisticalquestions.What HowcanI ...
We also suggest a method to repair the failure of subadditivity of quantile-based methods.doi:10.1017/CBO9780511615337.007Philippe ArtznerFreddy DelbaenJean-Marc EberDavid HeathJohn Wiley & Sons, LtdMathematical FinanceP. Artzner, F. Delbaen, J.M. Eber, and D. Heath. Coherent measures of risk...
It employs the following objects as the building blocks: - coherent risk measures introduced by Artzner, Delbaen, Eber, and Heath; - factor risk measures introduced in this paper, which assess the risks driven by particular factors like the price of oil, S&P500 index, or the credit spread;...
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...
“Coherent Risk Measures.” Mathematical Finance, 9, 203–228. Article Google Scholar Artzner, P., F. Delbaen, J.-M. Eber, and D. Heath. (1999b). Risk Management and Capital Allocation with Coherent Measures of Risk. http://symposium.wiwi.uni-karlsruhe.de/8thpapers/artzner.ps. ...
ARTZNER, PHILIPPE. 1999. "Application of Coherent Risk Measures to Capital Requirements in Insurance," North American Actuarial Journal 3(2): 11-25; Discussion (2000) 4(1): 115-16.Artzner Ph.Application of coherent risk measures to capital requirements in insurance. North American Actuarial ...
Convex measures of risk and trading constraints We introduce the notion of a convex measure of risk, an extension of the concept of a coherent risk measure defined in Artzneret al. (1999), and we prove a corresponding extension of the representation theorem in terms of probability mea... Han...
This note defines the premium of a put option on the firm as a measure of insolvency risk. The put premium is not a coherent risk measure as defined by Artzner et al. (1999). It satisfies all the axioms for a coherent risk measure except one, the translation invariance axiom. However,...
In this paper, we minimize the risk that the value of the hedging portfolio falls below the payoff of the claim at time T. We use a coherent risk measure, introduced by Artzner et al., to measure the risk of the shortfall. The dynamic optimization problem of finding a self-financing ...