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Stochastic orders and risk measures: Consistency and bounds

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Author Info
Bauerle, Nicole
Muller, Alfred

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Abstract

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Article provided by Elsevier in its journal Insurance: Mathematics and Economics.

Volume (Year): 38 (2006)
Issue (Month): 1 (February)
Pages: 132-148
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Handle: RePEc:eee:insuma:v:38:y:2006:i:1:p:132-148

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Web page: http://www.elsevier.com/locate/inca/505554

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  1. 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. [Downloadable!]
  2. Mathieu Bargès & Hélène Cossette & Etienne Marceau, 2009. "TVaR-based capital allocation with copulas," Working Papers hal-00431265_v1, HAL. [Downloadable!]
  3. Ignacio Cascos & Ilya Molchanov, 2006. "Multivariate risks and depth-trimmed regions," Quantitative Finance Papers math/0606520, arXiv.org, revised Nov 2006. [Downloadable!]
  4. Ignacio Cascos & Ilya Molchanov, 2007. "Multivariate risks and depth-trimmed regions," Finance and Stochastics, Springer, vol. 11(3), pages 373-397, July. [Downloadable!] (restricted)
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This page was last updated on 2009-12-30.

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