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After VAR : the theory, estimation, and insurance applications of quantile-based risk measures
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MAP20071508152
Dowd, Kevin ‌
After VAR : the theory, estimation, and insurance applications of quantile-based risk measures / Kevin Dowd and David Blake
Authors discuss a number of quantile-based risk measures that have recenbtly been developed in the financial risk and actuarial-insurance literatures. The measures considered include the Value-at-Risk, coherent risk measures, spectral risk measures, and distortion risk measures
En: The Journal of risk and insurance. - Orlando. - Volume 73, number 1, June 2006 ; p. 193-229
1. Gerencia de riesgos ‌. 2. Valoración de riesgos ‌. 3. Teoría de la estimación ‌. 4. Análisis de riesgos ‌. 5. Casos prácticos ‌. 6. Riesgo financiero ‌. 7. Métodos cuantitativos de medida ‌. I. Blake, David ‌. II. Título. III. Título: The Journal of risk and insurance.