Coherent Beta Risk Measures for Capital Requirements

dc.contributor.authorWirch, Julia Lynnen
dc.date.accessioned2006-08-22T14:27:07Z
dc.date.available2006-08-22T14:27:07Z
dc.date.issued1999en
dc.date.submitted1999en
dc.description.abstractThis 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.en
dc.formatapplication/pdfen
dc.format.extent1159137 bytes
dc.format.mimetypeapplication/pdf
dc.identifier.urihttp://hdl.handle.net/10012/1106
dc.language.isoenen
dc.pendingfalseen
dc.publisherUniversity of Waterlooen
dc.rightsCopyright: 1999, Wirch, Julia Lynn. All rights reserved.en
dc.subjectMathematicsen
dc.subjectRisk Measureen
dc.subjectCapital Adequacyen
dc.subjectDistorted Probabilityen
dc.subjectValue at Risken
dc.subjectPH-Transformen
dc.subjectBeta Distortionen
dc.titleCoherent Beta Risk Measures for Capital Requirementsen
dc.typeDoctoral Thesisen
uws-etd.degreeDoctor of Philosophyen
uws-etd.degree.departmentStatistics and Actuarial Science (Statistics)en
uws.peerReviewStatusUnrevieweden
uws.scholarLevelGraduateen
uws.typeOfResourceTexten

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