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research article

A Note on the Swiss Solvency Test Risk Measure

Filipovic, Damir  
2008
Insurance: Mathematics and Economics

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.

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Type
research article
DOI
10.1016/j.insmatheco.2007.10.009
Author(s)
Filipovic, Damir  
Date Issued

2008

Publisher

Elsevier

Published in
Insurance: Mathematics and Economics
Volume

42

Issue

3

Start page

897

End page

902

Subjects

Multiperiod risk measure

•

Swiss solvency test

•

Target capital

Editorial or Peer reviewed

REVIEWED

Written at

OTHER

EPFL units
CSF  
Available on Infoscience
April 27, 2010
Use this identifier to reference this record
https://infoscience.epfl.ch/handle/20.500.14299/49784
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