Please use this identifier to cite or link to this item: http://hdl.handle.net/2440/72618
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Type: Journal article
Title: How to value risk
Author: Shen, B.
Elliott, R.
Citation: Expert Systems with Applications, 2012; 39(5):6111-6115
Publisher: Pergamon-Elsevier Science Ltd
Issue Date: 2012
ISSN: 0957-4174
1873-6793
Statement of
Responsibility: 
Leo Shen, Robert J. Elliott
Abstract: We review various risk measures which have been introduced. By considering backward stochastic difference equations related to a single jump process, we define some risk measures related to the solutions. Some simple numerical examples are given.
Keywords: Static risk measure; Dynamic risk measure; Single jump process; Backward stochastic difference equation
Rights: Copyright © 2011 Elsevier Ltd. All rights reserved.
RMID: 0020117356
DOI: 10.1016/j.eswa.2011.11.006
Appears in Collections:Mathematical Sciences publications

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