This thesis compares insurance premium principles with current financial risk paradigms and uses distorted probabilities, a recent development in premium principle literature, to synthesize the current models for financial risk measures in banking and insurance. This work attempts to broaden the definition of value-at-risk beyond the percentile measures. Examples are used to show how the percentile measure fails to give consistent results, and how it can be manipulated. A new class of consistent risk measures is investigated.
| Identifer | oai:union.ndltd.org:WATERLOO/oai:uwspace.uwaterloo.ca:10012/1106 |
| Date | January 1999 |
| Creators | Wirch, Julia Lynn |
| Publisher | University of Waterloo |
| Source Sets | University of Waterloo Electronic Theses Repository |
| Language | English |
| Detected Language | English |
| Type | Thesis or Dissertation |
| Format | application/pdf, 1159137 bytes, application/pdf |
| Rights | Copyright: 1999, Wirch, Julia Lynn. All rights reserved. |
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