Spectral measures of risk: A coherent representation of subjective risk aversion
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Volume (Year): 26 (2002)
Issue (Month): 7 (July)
Pages: 1505-1518
| Handle: | RePEc:eee:jbfina:v:26:y:2002:i:7:p:1505-1518 |
| Contact details of provider: | Web page: http://www.elsevier.com/locate/jbf
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References listed on IDEAS
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- Wang, Shaun, 1996. "Premium Calculation by Transforming the Layer Premium Density," ASTIN Bulletin: The Journal of the International Actuarial Association, Cambridge University Press, vol. 26(01), pages 71-92, May.
- Acerbi, Carlo & Tasche, Dirk, 2002.
"On the coherence of expected shortfall,"
Journal of Banking & Finance,
Elsevier, vol. 26(7), pages 1487-1503, July.
- Carlo Acerbi & Dirk Tasche, 2001. "On the coherence of Expected Shortfall," Papers cond-mat/0104295, arXiv.org, revised May 2002.
- Carlo Acerbi & Dirk Tasche, 2001. "Expected Shortfall: a natural coherent alternative to Value at Risk," Papers cond-mat/0105191, arXiv.org.
- Carlo Acerbi & Claudio Nordio & Carlo Sirtori, 2001. "Expected Shortfall as a Tool for Financial Risk Management," Papers cond-mat/0102304, arXiv.org. Full references (including those not matched with items on IDEAS)
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