On Some Layer-Based Risk Measures with Applications to Exponential Dispersion Models
Layer-based counterparts of a number of well-known risk measures have been proposed and studied. Namely, some motivations and elementary properties have been discussed, and the analytic tractability has been demonstrated by developing closed-form expressions in the general framework of exponential d...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Hindawi Limited
2010-01-01
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| Series: | Journal of Probability and Statistics |
| Online Access: | http://dx.doi.org/10.1155/2010/357321 |
| Summary: | Layer-based counterparts of a number of well-known risk measures have been proposed and studied. Namely, some motivations and elementary properties have been discussed, and the analytic tractability has
been demonstrated by developing closed-form expressions in the general framework of exponential dispersion models. |
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| ISSN: | 1687-952X 1687-9538 |