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Coherent Beta Risk Measures for Capital Requirements

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.

Identiferoai:union.ndltd.org:WATERLOO/oai:uwspace.uwaterloo.ca:10012/1106
Date January 1999
CreatorsWirch, Julia Lynn
PublisherUniversity of Waterloo
Source SetsUniversity of Waterloo Electronic Theses Repository
LanguageEnglish
Detected LanguageEnglish
TypeThesis or Dissertation
Formatapplication/pdf, 1159137 bytes, application/pdf
RightsCopyright: 1999, Wirch, Julia Lynn. All rights reserved.

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