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
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
Journal title :
Insurance Mathematics and Economics