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Wirch, Julia Lynn; Hardy, Mary R.

A synthesis of risk measures for capital adequacy. (English) Zbl 0951.91032

Insur. Math. Econ. 25, No. 3, 337-347 (1999).
Summary: We discuss the concept of the risk measure as an expectation using a probability distortion, and classify the standard risk measures according to their associated distortion functions. Using two examples, we explore the features of the different measures.

Cited in 56 Documents

MSC:

91B30 Risk theory, insurance (MSC2010)

Keywords:

value at risk; risk measure; PH-transform
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\textit{J. L. Wirch} and \textit{M. R. Hardy}, Insur. Math. Econ. 25, No. 3, 337--347 (1999; Zbl 0951.91032)
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References:

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This reference list is based on information provided by the publisher or from digital mathematics libraries. Its items are heuristically matched to zbMATH identifiers and may contain data conversion errors. It attempts to reflect the references listed in the original paper as accurately as possible without claiming the completeness or perfect precision of the matching.