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

Cite this

@article{e91211d4cbdb4c0c821eb8b6448fde77,

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",

volume = "9",

pages = "591--628",

journal = "Australian actuarial journal",

issn = "1442-3065",

publisher = "Institute of Actuaries of Australia",

number = "4",

}

TY - JOUR

T1 - On a generalized form of risk measure

AU - Elliott, Robert J.

AU - Siu, Tak Kuen

AU - Yang, Hailiang

PY - 2003

Y1 - 2003

N2 - This paper defines risk measure in a measure-theoretic framework and shows how some common risk measures can be interpreted using that definition.

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

M3 - Article

SN - 1442-3065

VL - 9

SP - 591

EP - 628

JO - Australian actuarial journal

JF - Australian actuarial journal

IS - 4

ER -

On a generalized form of risk measure

Abstract

Fingerprint

Cite this