Showing 1 - 7 of 7
Persistent link: https://www.econbiz.de/10012239969
Persistent link: https://www.econbiz.de/10010195917
Persistent link: https://www.econbiz.de/10010366178
Persistent link: https://www.econbiz.de/10011410501
Persistent link: https://www.econbiz.de/10013264939
Persistent link: https://www.econbiz.de/10014631072
This paper studies a new risk measure derived from the expected area in red introduced in Loisel (2005). Specifically, we derive various properties of a risk measure defined as the smallest initial capital needed to ensure that the expected time-integrated negative part of the risk process on a...
Persistent link: https://www.econbiz.de/10010753209