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Risk measurement with equivalent utility principles

Author

Listed:
  • Denuit Michel
  • Dhaene Jan
  • Goovaerts Marc
  • Kaas Rob
  • Laeven Roger

Abstract

Risk measures have been studied for several decades in the actuarial literature, where they appeared under the guise of premium calculation principles. Risk measures and properties that risk measures should satisfy have recently received considerable attention in the financial mathematics literature. Mathematically, a risk measure is a mapping from a class of random variables to the real line. Economically, a risk measure should capture the preferences of the decision-maker.

Suggested Citation

  • Denuit Michel & Dhaene Jan & Goovaerts Marc & Kaas Rob & Laeven Roger, 2006. "Risk measurement with equivalent utility principles," Statistics & Risk Modeling, De Gruyter, vol. 24(1), pages 1-25, July.
    • Handle: RePEc:bpj:strimo:v:24:y:2006:i:1:p:1-25:n:2
    DOI: 10.1524/stnd.2006.24.1.1
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