Risk measures

Albrecht, Peter

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URL: https://ub-madoc.bib.uni-mannheim.de/2779
URN: urn:nbn:de:bsz:180-madoc-27797
Document Type: Working paper
Year of publication: 2003
The title of a journal, publication series: Rationalitätskonzepte, Entscheidungsverhalten und ökonomische Modellierung
Volume: 03-01
Place of publication: Mannheim
Publication language: English
Institution: School of Law and Economics > Sonstige - Fakultät für Rechtswissenschaft und Volkswirtschaftslehre
MADOC publication series: Sonderforschungsbereich 504 > Rationalitätskonzepte, Entscheidungsverhalten und ökonomische Modellierung (Laufzeit 1997 - 2008)
Subject: 330 Economics
Subject headings (SWD): Risiko , Messung , Theorie
Abstract: The present review of (financial) risk measures, prepared for the Encyclopaedia of Actuarial Science, first distinguishes two conceptions of risk. Risk of the first kind conceives risk as the magnitude of (one- or two-sided) deviations from a target, whereas risk of the second kind conceives risk as necessary capital or necessary premium, respectively. Some important axiomatic characterizations of risk measures are reviewed, including a characterization of a correspondence between risk measures of the first kind and risk measures of the second kind. Finally, a detailed overview of different risk measures of the first and second kind is presented.
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