On a generalized form of risk measure

Robert J. Elliott; Tak Kuen Siu; Hailiang Yang

On a generalized form of risk measure

Robert J. Elliott, Tak Kuen Siu, Hailiang Yang

Research output: Contribution to journal › Article

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 language	English
Pages (from-to)	591-628
Number of pages	38
Journal	Australian actuarial journal
Volume	9
Issue number	4
Publication status	Published - 2003
Externally published	Yes

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title = "On a generalized form of risk measure",

abstract = "This paper defines risk measure in a measure-theoretic framework and shows how some common risk measures can be interpreted using that definition.",

author = "Elliott, {Robert J.} and Siu, {Tak Kuen} and Hailiang Yang",

year = "2003",

language = "English",

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journal = "Australian actuarial journal",

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AU - Siu, Tak Kuen

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JO - Australian actuarial journal

JF - Australian actuarial journal

SN - 1442-3065

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