References

• 1999Coherent Measures of Risk8,849 cited
• 2000Optimization of conditional value-at-risk6,711 cited
• 2002Conditional value-at-risk for general loss distributions3,847 cited
• 2000Some Remarks on the Value-at-Risk and the Conditional Value-at-Risk770 cited
• 2001On law invariant coherent risk measures676 cited
• 2002Expected Shortfall: A Natural Coherent Alternative to Value at Risk573 cited
• 2000Coherent risk measures308 cited
• 2003Using copulae to bound the Value-at-Risk for functions of dependent risks278 cited
• 2003Shortfall as a risk measure: properties, optimization and applications269 cited
• 1999Application of Coherent Risk Measures to Capital Requirements in Insurance214 cited
• 1999A synthesis of risk measures for capital adequacy181 cited
• 1994Ordering of actuarial risks180 cited
• 2002Comparative Analyses of Expected Shortfall and Value-at-Risk: Their Estimation Error, Decomposition, and Optimization137 cited
• 1999Stochastic bounds on sums of dependent risks137 cited
• 2002On the Validity of Value-at-Risk: Comparative Analyses with Expected Shortfall130 cited