A synthesis of risk measures for capital adequacy

被引：4
|
作者：
Wirch, JL [1 ]
Hardy, MR [1 ]
机构：
[1] Univ Waterloo, Waterloo, ON N2L 3G1, Canada
来源：
INSURANCE MATHEMATICS & ECONOMICS | 1999年 / 25卷 / 03期
关键词：
value at risk; risk measure; PH-transform;
D O I：
暂无
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
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. (C) 1999 Elsevier Science B.V. All rights reserved.
引用
收藏
页码：337 / 347
页数：11
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