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A comonotonic image of independence for additive risk measures

โœ Scribed by Marc J. Goovaerts; Rob Kaas; Roger J.A. Laeven; Qihe Tang


Book ID
108153037
Publisher
Elsevier Science
Year
2004
Tongue
English
Weight
150 KB
Volume
35
Category
Article
ISSN
0167-6687

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A synthesis of risk measures for capital
โœ Julia Lynn Wirch; Mary R. Hardy ๐Ÿ“‚ Article ๐Ÿ“… 1999 ๐Ÿ› Elsevier Science ๐ŸŒ English โš– 222 KB

We discuss the concept of the risk measure as an expectation using a probability distortion, and classify the standard risk measures according to their associated distortion functions. Using two examples, we explore the features of the different measures.