An operational interpretation and existence of the Aumann-Serrano index of riskiness

DOI10.1016/J.ECONLET.2011.10.030zbMATH Open1252.91055OpenAlexW1979712945MaRDI QIDQ429156FDOQ429156

Authors: Ulrich Homm, Christian Pigorsch 

Publication date: 26 June 2012

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2011.10.030

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zbMATH Keywords

ruin probabilityadjustment coefficientAumann-Serrano index of riskiness

Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82) Other game-theoretic models (91A40)

Cites Work

• Financial Modelling with Jump Processes
• Aspects of risk theory
• An economic index of riskiness
• A note on the adjustment coefficient in ruin theory

Cited In (10)

• Explicit solution to the economic index of riskiness
• Aumann-Serrano index of risk in portfolio optimization
• Investment rankings via an objective measure of riskiness: a case study
• Existence and computation of the Aumann-Serrano index of riskiness and its extension
• Riskiness in gambles that belong to the same location-scale family and with well-defined means and variances
• Comparing dynamic and static performance indexes in the stock market: evidence from Japan
• Utility indifference pricing and the Aumann-Serrano performance index
• Ruin-based risk measures in discrete-time risk models
• General dual measures of riskiness
• A note on Aumann and Serrano's index of riskiness

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