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Raising value at risk. SOA Seminar: Integrated Approaches to Risk Measurement in the Financial Services Industry (Atlanta, GA, 1997). (English) Zbl 1082.91546


MSC:

91B30 Risk theory, insurance (MSC2010)
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References:

[1] Philippe Artzner Freddy Delbael Jean-Marc Eber David Heath 1996. A Characterization of Measures of Risk Presented at University of Waterloo (February)
[2] Franco Bassi Paul Embrechts Maria Kafetzaki A Survival Kit on Quantile Estimation 1997 Presented at University of Waterloo.
[3] Bowers Newton L, Actuarial Mathematics (1986)
[4] Duffie Darrell, The Journal of Derivatives 4 (3) pp 7– (1997) · Zbl 1049.91506
[5] Hogg Robert V., Introduction to Mathematical Statistics (1995)
[6] Hull John C., Options, Futures, and Other Derivatives., 3. ed. (1997) · Zbl 1087.91025
[7] Klugman Stuart A., Loss Models: From Data to Decisions (1997)
[8] Introduction to RiskMetrics (1995)
[9] Searle Shayle R., Variance Components (1997)
[10] Wang Shaun, NAAJ2 2 pp 88– (1998)
This reference list is based on information provided by the publisher or from digital mathematics libraries. Its items are heuristically matched to zbMATH identifiers and may contain data conversion errors. It attempts to reflect the references listed in the original paper as accurately as possible without claiming the completeness or perfect precision of the matching.