How to value risk

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dc.contributor.authorShen, B.
dc.contributor.authorElliott, R.
dc.date.issued2012
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.identifier.citationExpert Systems with Applications, 2012; 39(5):6111-6115
dc.identifier.doi10.1016/j.eswa.2011.11.006
dc.identifier.issn0957-4174
dc.identifier.issn1873-6793
dc.identifier.urihttp://hdl.handle.net/2440/72618
dc.language.isoen
dc.publisherPergamon-Elsevier Science Ltd
dc.relation.grantARC
dc.rightsCopyright © 2011 Elsevier Ltd. All rights reserved.
dc.source.urihttps://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
pubs.publication-statusPublished

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