Model uncertainty and scenario aggregation
Year of publication: |
April 2017
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Authors: | Cambou, Mathieu ; Filipović, Damir |
Published in: |
Mathematical finance : an international journal of mathematics, statistics and financial theory. - Malden, Mass. [u.a] : Wiley-Blackwell, ISSN 0960-1627, ZDB-ID 1073194-5. - Vol. 27.2017, 2, p. 534-567
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Subject: | model uncertainty | scenario aggregation | expected shortfall | value-at-risk | statistical divergence | Swiss Solvency Test | Risikomaß | Risk measure | Risiko | Risk | Aggregation | Prognoseverfahren | Forecasting model | Schweiz | Switzerland | Modellierung | Scientific modelling | Theorie | Theory | Szenariotechnik | Scenario analysis | Entscheidung unter Unsicherheit | Decision under uncertainty |
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