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Keywords:
| quantile |
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| coherent |
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| stochastic |
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| simulation |
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| estimation |
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Categories:
| VaR Methods |
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| --Evaluation/Comparison |
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Half-Life:
Impact:
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
View Count:
Comment Num: 0
Language: EN
Source:
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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