Put Option Premiums and Coherent Risk Measures
Abstractput options , risk measures , insolvency ,coherent risk measures , insurance risk measures "Manuscript received March 2000; final revision received February 2001." Copyright 2002 Blackwell Publishing, Inc. 350 Main St., Malden, MA 02148, USA, and 108 Cowley Road,Oxford, OX4, 1JF, UK..
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Bibliographic InfoArticle provided by Wiley Blackwell in its journal Mathematical Finance.
Volume (Year): 12 (2002)
Issue (Month): 2 ()
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- Rama Cont & Romain Deguest & Xuedong He, 2011. "Loss-Based Risk Measures," Papers 1110.1436, arXiv.org, revised Apr 2013.
- Goovaerts, Marc & Kaas, R. & Dhaene, Jan & Tang, Q., 2003. "A unified approach to generate risk measures," Open Access publications from Katholieke Universiteit Leuven urn:hdl:123456789/200990, Katholieke Universiteit Leuven.
- Nicole El Karoui & Claudia Ravanelli, 2007. "Cash Sub-additive Risk Measures and Interest Rate Ambiguity," Papers 0710.4106, arXiv.org.
- Ignacio Cascos & Ilya Molchanov, 2006. "Multivariate risks and depth-trimmed regions," Papers math/0606520, arXiv.org, revised Nov 2006.
- Rama Cont & Romain Deguest & Xuedong He, 2011. "Loss-Based Risk Measures," Working Papers hal-00629929, HAL.
- Ignacio Cascos & Ilya Molchanov, 2006. "Multivariate Risks And Depth-Trimmed Regions," Statistics and Econometrics Working Papers ws063815, Universidad Carlos III, Departamento de Estadística y Econometría.
- Pospisil, Libor & Vecer, Jan & Xu, Mingxin, 2007. "Tradable measure of risk," MPRA Paper 5059, University Library of Munich, Germany.
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