Dispersion measures as immunization risk measures

Viewing Risk Measures as Information

Regulation and risk management in banks depend on underlying risk measures. In general this is the only purpose that is seen for risk measures. In this paper we suggest that the reporting of risk measures can be used to determine the loss distribution function for a financial entity. We demonstrate that a lack of sufficient information can lead to ambiguous risk situations. We give examples, sh...

Combined functionals as risk measures

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...

Dispersion measures and dispersive orderings

In this paper, the comparison of random variables according to the functionals of a general class of dispersion measures is characterized in terms of the dilation order. The Gini’s mean di¤erence is a particular member of this general class. In addition, a new and weaker order, called the second-order absolute Lorenz ordering, is introduced, and we judge random variables according to certain fu...

Anthropometric Measures and the Risk of Coronary Artery Disease

Measures of Central Tendency and Dispersion.