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On some risk measures

Author

Listed:
  • Michał Boczek

    (Politechnika Łódzka)

Abstract

The aim of this paper is to introduce functionals defined for some families of random variables by using pseudomeasures, also known as monotone measures or fuzzy measures. These functionals can become an alternative tool for measuring risk. We will give their graphical interpretation and selected properties.

Suggested Citation

  • Michał Boczek, 2015. "On some risk measures," Collegium of Economic Analysis Annals, Warsaw School of Economics, Collegium of Economic Analysis, issue 37, pages 323-338.
    • Handle: RePEc:sgh:annals:i:37:y:2015:p:323-338
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    References listed on IDEAS

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