On Some Layer-Based Risk Measures with Applications to Exponential Dispersion Models

Olga Furman and Edward Furman

Journal of Probability and Statistics, 2010, vol. 2010, 1-19

Abstract:

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.

Date: 2010
References: Add references at CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://downloads.hindawi.com/journals/JPS/2010/357321.pdf (application/pdf)
http://downloads.hindawi.com/journals/JPS/2010/357321.xml (text/xml)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:hin:jnljps:357321

DOI: 10.1155/2010/357321

Access Statistics for this article

More articles in Journal of Probability and Statistics from Hindawi
Bibliographic data for series maintained by Mohamed Abdelhakeem ().