How to value risk
Date
2012
Authors
Shen, B.
Elliott, R.
Editors
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Type:
Journal article
Citation
Expert Systems with Applications, 2012; 39(5):6111-6115
Statement of Responsibility
Leo Shen, Robert J. Elliott
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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.
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Dissertation Note
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Copyright © 2011 Elsevier Ltd. All rights reserved.