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quantile sign in to follow this
coherent sign in to follow this
stochastic sign in to follow this
simulation sign in to follow this
estimation sign in to follow this
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VaR Methods sign in to follow this
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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.
Author(s)
Dowd, Kevin Sign in to follow this author
Blake, David Sign in to follow this author
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