After VaR: Theory, Estimation, and Insurance Applications of Quantile-Based Risk Measures
Company: Journal of Risk and Insurance
Year Of Publication: 2006
Month Of Publication: June
Pages: 59
Download Count: 977
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Comment Num: 0
Language: EN
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Who Can Read: Free
Date: 3-23-2006
Publisher: Administrator
Summary
We discuss a number of quantile-based risk measures (QBRMs) that have recently been developed in the financial risk and actuarial/insurance literatures. We discuss and compare the properties of these different measures, and point out that the VaR is seriously flawed.
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