\[ \renewcommand{\P}{\mathop{\mathbb{P}}\nolimits} \newcommand{\E}{\mathop{\mathbb{E}}\nolimits} \newcommand{\var}{\mathop{\rm Var}\nolimits} \newcommand{\VaR}{\mathop{\rm VaR}\nolimits} \newcommand{\cte}{\mathop{\rm CTE}\nolimits} \newcommand{\cov}{\mathop{\rm Cov}\nolimits} \newcommand{\limsup}{\mathop{\rm limsup}} \newcommand{\liminf}{\mathop{\rm liminf}} \newcommand{\R}{\mathbb{R}} \newcommand{\Q}{\mathbb{Q}} \newcommand{\Z}{\mathbb{Z}} \newcommand{\N}{\mathbb{N}} \newcommand{\C}{\mathbb{C}} \renewcommand{\d}{\, \mathrm{d}} \newcommand{\dP}{\, \mathrm{d}\mathbb{P}} \newcommand{\eps}{\varepsilon} \renewcommand{\emptyset}{\varnothing} \]

References

Altman, Edward I. 2018. “A Fifty-Year Retrospective on Credit Risk Models, the Altman z-Score Family of Models and Their Applications to Financial Markets and Managerial Strategies.” Journal of Credit Risk 14 (4).

Embrechts, Paul, and Ruodu Wang. 2015. “Seven Proofs for the Subadditivity of Expected Shortfall.” Dependence Modeling 3 (1): 126–40.

Kaas, Rob, Marc Goovaerts, Jan Dhaene, and Michel Denuit. 2008. Modern Actuarial Risk Theory: Using R. Second Edition. Springer.

McNeil, Alexander J, Rüdiger Frey, and Paul Embrechts. 2015. Quantitative Risk Management: Concepts, Techniques and Tools. Princeton university press.

Mikosch, Thomas. 2004. Non-Life Insurance Mathematics: An Introduction with Stochastic Processes. Springer.