A RISK MEASURE THAT GOES BEYOND COHERENCE

By Shaun S. Wang. 2002

56 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/1d9b3a34c03b3c91f3040128fdd8ae7150500274

Citations in the corpus

• Risk Measures and Comonotonicity: A Review (2006, unknown): “A proof for these characterizations in case of non-negative random variables can be found in e.g., Wang and Young[36]; see also Dhaene et al.[12].”
• After VaR: The Theory, Estimation, and Insurance Applications of Quantile-Based Risk Measures (2006, unknown): “As a result of these weaknesses, the ES can fail to allow for the mitigation of losses below VaR, can give implausible rankings of relative riskiness, and can fail to take full account of the impact of extreme losses (Wirch and Hardy, 1999; Wang, 2002a).”