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 › peer-review

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.",

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JO - Australian actuarial journal

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On a generalized form of risk measure

Abstract

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