On some layer-based risk measures with applications to exponential dispersion models (Q609700)
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scientific article
| Language | Label | Description | Also known as |
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| English | On some layer-based risk measures with applications to exponential dispersion models |
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On some layer-based risk measures with applications to exponential dispersion models (English)
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1 December 2010
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Summary: Layer-based counterparts of a number of well-known risk measures have been proposed and studied. Namely, some motivations and elementary properties have been discussed, and the analytic tractability has been demonstrated by developing closed-form expressions in the general framework of exponential dispersion models.
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