conditional value-at-risk

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Publication Types

Content type	Date Sort descending	Title	Tags
ERM Resource	25/06/2015	Optimization of the Non-Life Insurance Risk Diversification in Solvency II	conditional value-at-risk diversification factor Herfindahl-Hirschman index multivariate elliptical and log-elliptical risk distributions No specific risk Regulation Risk Optimisation Solvency II non-life risk value-at-risk
ERM Resource	25/06/2015	Risk-minimising investment strategies	conditional value-at-risk constant proportion portfolio insurance dynamic asset allocation No specific risk portfolio insurance Risk Optimisation time invariant portfolio protection value-at-risk
ERM Resource	07/09/2017	Pension Risk Management in the Enterprise Risk Management Framework	conditional value-at-risk defined benefit pension plan ERM and Risk Management Framework Longevity risks pension de-risking.Strategy