๐”– Bobbio Scriptorium
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A synthesis of risk measures for capital adequacy

โœ Scribed by Julia Lynn Wirch; Mary R. Hardy

Book ID
104300207
Publisher
Elsevier Science
Year
1999
Tongue
English
Weight
222 KB
Volume
25
Category
Article
ISSN
0167-6687

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โœฆ Synopsis

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.

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