Dispersion measures as immunization risk measures
نویسندگان
چکیده
منابع مشابه
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Institute of Computational Modeling SB RAS, Academgorodok, Krasnoyarsk, Russia, 660036 e-mail: [email protected], phone +7 3912 495382 Abstract Risk measures are widely used in insurance pricing, portfolio selection, and in decision-making in general. Two prevalent classes of risk measures are expected utility (a dollar transform), and distorted probability (a probability transform). Both appro...
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ژورنال
عنوان ژورنال: Journal of Banking & Finance
سال: 2002
ISSN: 0378-4266
DOI: 10.1016/s0378-4266(01)00168-6