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Risk measurement with equivalent utility principles

Listed author(s):
  • Denuit Michel
  • Dhaene Jan
  • Goovaerts Marc
  • Kaas Rob
  • Laeven Roger

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.

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Article provided by De Gruyter in its journal Statistics & Risk Modeling.

Volume (Year): 24 (2006)
Issue (Month): 1/2006 (July)
Pages: 1-25

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Handle: RePEc:bpj:strimo:v:24:y:2006:i:1/2006:p:25:n:1
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References listed on IDEAS
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