Adelaide Research & Scholarship
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https://hdl.handle.net/2440/72618
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| Type: | Journal article |
| Title: | How to value risk |
| Author: | Shen, B. Elliott, R. |
| Citation: | Expert Systems with Applications, 2012; 39(5):6111-6115 |
| Publisher: | Pergamon-Elsevier Science Ltd |
| Issue Date: | 2012 |
| ISSN: | 0957-4174 1873-6793 |
| Statement of Responsibility: | Leo Shen, Robert J. Elliott |
| Abstract: | We review various risk measures which have been introduced. By considering backward stochastic difference equations related to a single jump process, we define some risk measures related to the solutions. Some simple numerical examples are given. |
| Keywords: | Static risk measure Dynamic risk measure Single jump process Backward stochastic difference equation |
| Rights: | Copyright © 2011 Elsevier Ltd. All rights reserved. |
| DOI: | 10.1016/j.eswa.2011.11.006 |
| Grant ID: | ARC |
| Published version: | http://dx.doi.org/10.1016/j.eswa.2011.11.006 |
| Appears in Collections: | Aurora harvest Mathematical Sciences publications |
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