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Please use this identifier to cite or link to this item: https://hdl.handle.net/2440/72618
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dc.contributor.authorShen, B.-
dc.contributor.authorElliott, R.-
dc.date.issued2012-
dc.identifier.citationExpert Systems with Applications, 2012; 39(5):6111-6115-
dc.identifier.issn0957-4174-
dc.identifier.issn1873-6793-
dc.identifier.urihttp://hdl.handle.net/2440/72618-
dc.description.abstractWe 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.-
dc.description.statementofresponsibilityLeo Shen, Robert J. Elliott-
dc.language.isoen-
dc.publisherPergamon-Elsevier Science Ltd-
dc.rightsCopyright © 2011 Elsevier Ltd. All rights reserved.-
dc.source.urihttp://dx.doi.org/10.1016/j.eswa.2011.11.006-
dc.subjectStatic risk measure-
dc.subjectDynamic risk measure-
dc.subjectSingle jump process-
dc.subjectBackward stochastic difference equation-
dc.titleHow to value risk-
dc.typeJournal article-
dc.identifier.doi10.1016/j.eswa.2011.11.006-
dc.relation.grantARC-
pubs.publication-statusPublished-
Appears in Collections:Aurora harvest
Mathematical Sciences publications

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