A note on generalized distortion risk measures [An article from: Finance Research Letters]

by W. Hurlimann

List Price:	~~$10.95~~
Amazon Price:	$10.95 & eligible for FREE Super Saver Shipping on orders over $25.
Lowest New Price:	$10.95
Availablitiy:	Available for download now

Editorial Reviews
Product Description
This digital document is a journal article from Finance Research Letters, published by Elsevier in 2006. The article is delivered in HTML format and is available in your Amazon.com Media Library immediately after purchase. You can view it with any web browser.

Description:
A generalized distortion risk measure is introduced as power of the mean absolute deviation power of a distorted random variable with respect to a location parameter. This class of risk measures extends both the distortion risk measure by Wang and Denneberg and the class of financial risk measures by Pedersen and Satchell, which itself contains the class of Stone. Integral representations and a stop-loss order preserving property of a special up-side risk measure are derived.

Price is accurate as of the date/time indicated. Prices and product availability are subject to change. Any price displayed on the Amazon website at the time of purchase will govern the sale of this product.