Title of article :
How to value risk
Author/Authors :
Shen، نويسنده , , Leo and Elliott، نويسنده , , Robert J.، نويسنده ,
Issue Information :
روزنامه با شماره پیاپی سال 2012
Abstract :
We review various risk measures which have been introduced. By considering backward stochastic difference equations related to a single jump process, we define some risk measures related to the solutions. Some simple numerical examples are given.
Keywords :
Backward stochastic difference equation , Dynamic risk measure , Single jump process , Static risk measure
Journal title :
Expert Systems with Applications
Journal title :
Expert Systems with Applications
