research article
A Note on the Swiss Solvency Test Risk Measure
In this paper we examine whether the Swiss Solvency Test risk measure is a coherent measure of risk as introduced in Artzner et al. [Artzner, P., Delbaen, F., Eber, J.M., Heath, D., 1999. Coherent measures of risk. Math. Finance 9, 203–228; Artzner, P., Delbaen, F., Eber, J.M., Heath, D., Ku, H., 2004. Coherent multiperiod risk adjusted values and Bellman’s principle. Working Paper. ETH Zurich]. We provide a simple example which shows that it does not satisfy the axiom of monotonicity. We then find, as a monotonic alternative, the greatest coherent risk measure which is majorized by the Swiss Solvency Test risk measure.
Type
research article
Author(s)
Date Issued
2008
Publisher
Published in
Volume
42
Issue
3
Start page
897
End page
902
Editorial or Peer reviewed
REVIEWED
Written at
OTHER
EPFL units
Available on Infoscience
April 27, 2010
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