On a generalized form of risk measure

Robert J. Elliott, Tak Kuen Siu, Hailiang Yang

Research output: Contribution to journalArticle

Abstract

This paper defines risk measure in a measure-theoretic framework and shows how some common risk measures can be interpreted using that definition.
Original languageEnglish
Pages (from-to)591-628
Number of pages38
JournalAustralian actuarial journal
Volume9
Issue number4
Publication statusPublished - 2003
Externally publishedYes

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