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|Scopus||Web of Science®||Altmetric|
|Title:||How to value risk|
|Citation:||Expert Systems with Applications, 2012; 39(5):6111-6115|
|Publisher:||Pergamon-Elsevier Science Ltd|
|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.|
|Appears in Collections:||Mathematical Sciences publications|
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