Open AccessOn Some Layer‐Based Risk Measures with Applications to Exponential Dispersion Models
Author(s) -
Olga Furman,
Edward Furman
Publication year - 2010
Publication title -
journal of probability and statistics
Language(s) - English
Resource type - Journals
eISSN - 1687-9538
pISSN - 1687-952X
DOI - 10.1155/2010/357321
Subject(s) - exponential function , dispersion (optics) , layer (electronics) , mathematics , econometrics , risk model , statistics , mathematical analysis , physics , materials science , optics , composite material
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 hasbeen demonstrated by developing closed-form expressions in the general framework of exponential dispersion models
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