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Distances on probability measures and random variables

✍ Scribed by B. Berckmoes; R. Lowen; J. Van Casteren


Book ID
108178785
Publisher
Elsevier Science
Year
2011
Tongue
English
Weight
258 KB
Volume
374
Category
Article
ISSN
0022-247X

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On some measures and distances for posit
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## Abstract A number of conventional measures of risk as real‐valued functions on the space of positive random variables are considered: the expected shortfall, the mean excess over the threshold, the stop‐loss and some others. Ordering of risks, based on these measures and the distances between co