Financial risk measurement with imprecise probabilities (Q2379328)
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scientific article; zbMATH DE number 5684948
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| default for all languages | No label defined |
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| English | Financial risk measurement with imprecise probabilities |
scientific article; zbMATH DE number 5684948 |
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Financial risk measurement with imprecise probabilities (English)
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19 March 2010
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The paper focuses on imprecise probabilities linked to financial risk measurement. After an overview on risk measurement without imprecise probabilities, the author provides notations and recalls about imprecise previsions. Then the connection between imprecise previsions and risk measurement is investigated, framing well known risk measures in the context of imprecise probability theory.
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risk measures
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value-at-risk
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imprecise previsions
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shortfall
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envelope theorems
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0.88343537
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0.88196003
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0.8702518
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0.86991036
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