A Note on the Swiss Solvency Test Risk Measure

In this paper we examine whether the Swiss Solvency Test risk measure is a coher-ent measure of risk as introduced in Artzner et al. [1, 2]. 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