After VaR: The Theory, Estimation, and Insurance Applications of Quantile-Based Risk Measures
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References listed on IDEAS
- Goovaerts, Marc J. & Kaas, Rob & Dhaene, Jan & Tang, Qihe, 2003. "A Unified Approach to Generate Risk Measures," ASTIN Bulletin: The Journal of the International Actuarial Association, Cambridge University Press, vol. 33(02), pages 173-191, November.
- Kato, Toshiyasu & Yoshiba, Toshinao, 2000. "Model Risk and Its Control," Monetary and Economic Studies, Institute for Monetary and Economic Studies, Bank of Japan, vol. 18(2), pages 129-157, December.
- Tripp, Michael Howard & Bradley, H. L. & Devitt, R. & Orros, G. C. & Overton, G. L. & Pryor, L. M. & Shaw, R. A., 2004. "Quantifying Operational Risk in General Insurance Companies. Developed by a Giro Working Party," British Actuarial Journal, Cambridge University Press, vol. 10(05), pages 919-1012, December.
- Con Keating & Hyun Song Shin & Charles Goodhart & Jon Danielsson, 2001. "An Academic Response to Basel II," FMG Special Papers sp130, Financial Markets Group.
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