题名

On Risk Modeling in Investment and Actuarial Sciences

DOI

10.6704/JMSSD.2009.6.3.1

作者

Songsak Sriboonchitta；Hung T. Nguyen

关键词
期刊名称

管理科學與統計決策

卷期/出版年月

6卷3期（2009 / 09 / 01）

页次

1 - 6

内容语文

英文
英文摘要

We examine the state-of-the-art of modeling financial risks and propose a data-driven construction of risk measures. We take one form of coarse data in economics to suggest such an approach. The observed data are modeled probabilistically as random sets whose distribution functions are Choquet capacities giving rise to risk measures as Choquet integrals, a plausible class of coherent risk measures.
主题分类 基礎與應用科學 > 統計
社會科學 > 管理學
参考文献
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  3. Nguyen, H.T.(2006).An Introduction to Random Sets.Chapman and Hall/CRC Press.
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  5. Songsak, S.,Wong, W. K.,Dhompongsa, D.,Nguyen, H.T.(2009).Risk and Economics.Chapman and Hall/CRC Press.
  6. Wang, S.S.(1996).Premium calculations by transforming the layer premium density.ASTIN Bulletin,26,71-92.
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