On some layer-based risk measures with applications to exponential dispersion models
type: Item
instance of: scholarly article
title: On some layer-based risk measures with applications to exponential dispersion models
zbMATH Open document ID: 1200.91136
DOI: 10.1155/2010/357321
author: Olga Furman
author: Edward Furman
published in: Journal of Probability and Statistics
publication date: 2010-12-01T00:00:00Z
full work available at URL: https://eudml.org/doc/227828
review text: 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.
Mathematics Subject Classification ID: 91B30
Mathematics Subject Classification ID: 62P05
zbMATH DE Number: 5822153
MaRDI profile type: Publication
OpenAlex ID: W3123361588
Wikidata QID: Q58652655
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description: scientific article; zbMATH DE number 5822153