Title of article
A synthesis of risk measures for capital adequacy
Author/Authors
Lynn Wirch، نويسنده , , Julia and Hardy، نويسنده , , Mary R.، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 1999
Pages
11
From page
337
To page
347
Abstract
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.
Keywords
VALUE AT RISK , PH-transform , Risk Measure
Journal title
Insurance Mathematics and Economics
Serial Year
1999
Journal title
Insurance Mathematics and Economics
Record number
1542272
Link To Document