Coherent Risk Measures and Upper Previsions
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- Kevin Dowd & David Blake, 2006. "After VaR: The Theory, Estimation, and Insurance Applications of Quantile-Based Risk Measures," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 73(2), pages 193-229.
- Giannopoulos, Kostas & Tunaru, Radu, 2005. "Coherent risk measures under filtered historical simulation," Journal of Banking & Finance, Elsevier, vol. 29(4), pages 979-996, April.
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KeywordsCoherent risk measure; imprecise prevision; Value-at-Risk; avoiding sure loss condition;
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2002-02-10 (All new papers)
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