Title :
Study on Cumulative Residual Entropy and Variance as Risk Measure
Author_Institution :
Jilin Agric. Sci. & Technol. Coll, Jilin, China
Abstract :
In this paper, we will use a novel measure of information called Cumulative Residual Entropy (CRE) to develop a new measurement of risk and compare it with variance, then conclude the existence of variance is sufficient condition for existence of CRE and there exists a positive linear correlation between CRE and standard-deviation in experiment study. We apply it to solve risk measure problem for some special heavy-tail distribution of non-existence variance.
Keywords :
correlation theory; entropy; risk analysis; statistical distributions; stock markets; CRE; cumulative residual entropy; heavy tail distribution; linear correlation; risk measurement; standard deviation; stock return; variance; Correlation; Density functional theory; Entropy; Indexes; Measurement uncertainty; Random variables; Standards; cumulative residual entropy; heavy-tailed distribution; shannon´s entropy; variance;
Conference_Titel :
Business Intelligence and Financial Engineering (BIFE), 2012 Fifth International Conference on
Conference_Location :
Lanzhou
Print_ISBN :
978-1-4673-2092-4
DOI :
10.1109/BIFE.2012.52
