A Risk Measure Alternative to the Variance

B. Berliner

ASTIN Bulletin, 1977, vol. 9, issue 1-2, 42-58

Abstract: The qualifications of the semivariance as a useful risk measure are examined and compared to those of the variance. Although on first sight the semivariance may seem more appropriate from the insured's point of view the analysis of this paper leads to a preference for the variance as a risk measure.

Date: 1977
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