𝔖 Bobbio Scriptorium
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RISK MEASURES FOR NON-INTEGRABLE RANDOM VARIABLES

✍ Scribed by Freddy Delbaen

Book ID
111043132
Publisher
John Wiley and Sons
Year
2009
Tongue
English
Weight
76 KB
Volume
19
Category
Article
ISSN
0960-1627

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πŸ“œ SIMILAR VOLUMES

On some measures and distances for posit
On some measures and distances for positive random variables
✍ M. S. Finkelstein πŸ“‚ Article πŸ“… 2003 πŸ› John Wiley and Sons 🌐 English βš– 146 KB

## 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