R. J. A. Laeven

affiliation not provided to SSRN

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Scholarly Papers (1)

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Can a Coherent Riskmeasure be Too Subadditive?

Journal of Risk and Insurance, Vol. 75, No. 2, pp. 365-386
Number of pages: 28 Posted: 18 Mar 2009
Katholieke Universiteit Leuven, affiliation not provided to SSRN, Vrije Universiteit Brussel (VUB), KU Leuven - Faculty of Business and Economics (FEB) and affiliation not provided to SSRN
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Abstract:

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risk measure, coherency, solvency, value-at-risk, subadditive