Contributions to solvency risk measurement
The thesis focuses on risk measures used to calculate solvency capital requirements. It consists of three independent papers. The first paper (Chapter 2) investigates time-consistency, the relation that should hold across risk measurements of the same financial position at different time points. Suf...
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City University London
2012
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| Online Access: | http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.564041 |