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On some layer-based risk measures with applications to exponential dispersion models
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نویسنده
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furman o. ,furman e.
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منبع
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journal of probability and statistics - 2010 - شماره : 0
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چکیده
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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. copyright © 2010 o. furman and e. furman.
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آدرس
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actuarial research center,university of haifa, Israel, department of mathematics and statistics,york university,toronto, Canada
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Authors
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