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

DOI10.1016/J.ECONLET.2011.10.030zbMath1252.91055OpenAlexW1979712945MaRDI QIDQ429156

Christian Pigorsch, Ulrich Homm

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

zbMATH Keywords

ruin probabilityadjustment coefficientAumann-Serrano index of riskiness

Mathematics Subject Classification ID

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

Related Items (9)

Investment Rankings via an Objective Measure of Riskiness: A Case Study ⋮ Comparing dynamic and static performance indexes in the stock market: evidence from Japan ⋮ Riskiness in gambles that belong to the same location-scale family and with well-defined means and variances ⋮ Explicit solution to the economic index of riskiness ⋮ Existence and computation of the Aumann-Serrano index of riskiness and its extension ⋮ Utility indifference pricing and the Aumann-Serrano performance index ⋮ Aumann-Serrano index of risk in portfolio optimization ⋮ Ruin-based risk measures in discrete-time risk models ⋮ General dual measures of riskiness

Cites Work

• A note on the adjustment coefficient in ruin theory
• Aspects of risk theory
• An Economic Index of Riskiness
• Financial Modelling with Jump Processes

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