文章基本信息

标题：On Some Layer-Based Risk Measures with Applications to Exponential Dispersion Models
本地全文：下载
作者：Olga Furman ; Edward Furman
期刊名称：Journal of Probability and Statistics
印刷版ISSN：1687-952X
电子版ISSN：1687-9538
出版年度：2010
卷号：2010
DOI：10.1155/2010/357321
出版社：Hindawi Publishing Corporation
摘要：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.