On Some Layer-Based Risk Measures with Applications to Exponential Dispersion Models
Layer-based counterparts of a number of well-known risk measures have been proposed and studied. Namely, some motivations and elementary properties have been discussed, and the analytic tractability has been demonstrated by developing closed-form expressions in the general framework of exponential d...
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| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Wiley
2010-01-01
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| Series: | Journal of Probability and Statistics |
| Online Access: | http://dx.doi.org/10.1155/2010/357321 |
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| _version_ | 1850229134940176384 |
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| author | Olga Furman Edward Furman |
| author_facet | Olga Furman Edward Furman |
| author_sort | Olga Furman |
| collection | DOAJ |
| description | Layer-based counterparts of a number of well-known risk measures have been proposed and studied. Namely, some motivations and elementary properties have been discussed, and the analytic tractability has
been demonstrated by developing closed-form expressions in the general framework of exponential dispersion models. |
| format | Article |
| id | doaj-art-27d3bfa903224e02b836e2f0804ee547 |
| institution | OA Journals |
| issn | 1687-952X 1687-9538 |
| language | English |
| publishDate | 2010-01-01 |
| publisher | Wiley |
| record_format | Article |
| series | Journal of Probability and Statistics |
| spelling | doaj-art-27d3bfa903224e02b836e2f0804ee5472025-08-20T02:04:19ZengWileyJournal of Probability and Statistics1687-952X1687-95382010-01-01201010.1155/2010/357321357321On Some Layer-Based Risk Measures with Applications to Exponential Dispersion ModelsOlga Furman0Edward Furman1Actuarial Research Center, University of Haifa, Haifa 31905, IsraelDepartment of Mathematics and Statistics, York University, Toronto, ON, M3J 1P3, CanadaLayer-based counterparts of a number of well-known risk measures have been proposed and studied. Namely, some motivations and elementary properties have been discussed, and the analytic tractability has been demonstrated by developing closed-form expressions in the general framework of exponential dispersion models.http://dx.doi.org/10.1155/2010/357321 |
| spellingShingle | Olga Furman Edward Furman On Some Layer-Based Risk Measures with Applications to Exponential Dispersion Models Journal of Probability and Statistics |
| title | On Some Layer-Based Risk Measures with Applications to Exponential Dispersion Models |
| title_full | On Some Layer-Based Risk Measures with Applications to Exponential Dispersion Models |
| title_fullStr | On Some Layer-Based Risk Measures with Applications to Exponential Dispersion Models |
| title_full_unstemmed | On Some Layer-Based Risk Measures with Applications to Exponential Dispersion Models |
| title_short | On Some Layer-Based Risk Measures with Applications to Exponential Dispersion Models |
| title_sort | on some layer based risk measures with applications to exponential dispersion models |
| url | http://dx.doi.org/10.1155/2010/357321 |
| work_keys_str_mv | AT olgafurman onsomelayerbasedriskmeasureswithapplicationstoexponentialdispersionmodels AT edwardfurman onsomelayerbasedriskmeasureswithapplicationstoexponentialdispersionmodels |