Risk Measure Modelling

Dominika Crnjac
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Dominika Crnjac: Faculty of Electrical Engineering, Osijek

Interdisciplinary Management Research, 2007, vol. 3, 241-249

Abstract: As a phenomenon, risk represents a latent quantity of money or equivalent values needed as a guarantee. We would like to model in some essential way the approach to potential loss caused by various agents. If the interest focuses on security, it is necessary to determine a limit. The aim of this paper is to refer to relevant literature and show how measure theory can be built as a mathematical discipline into economic theory providing thereby risk managers with a tool by means of which they will be able to link mathematical and economic thought.

Keywords: measure; risk measures; moments; random variable; probability; approximation; variance; decision making; risk function (search for similar items in EconPapers)
Date: 2007
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