Iterated VaR or CTE measures: A false good idea?

Devolder, P; Lebegue, A

Lebegue, A (reprint author), Catholic Univ Louvain, Inst Stat Biostat & Sci Actuarielles, Louvain La Neuve, Belgium.

SCANDINAVIAN ACTUARIAL JOURNAL, 2017; (4): 287

Abstract

The purpose of this paper is twofold. Firstly, we consider different risk measures in order to determine the solvency capital requirement of a pension......

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